The Effects of Foreign Participation on Chinese Government Bond Yields
The Effects of Foreign Participation on Chinese Government Bond Yields
Author(s): Kerry LiuSubject(s): Economy, National Economy, Financial Markets, Public Finances
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: Chinese government bonds; yields; foreign participation; foreign investment; robust least squares model; cointegration
Summary/Abstract: Research background: Since 2015, when China opened up its onshore bond markets more substantially, foreign investors have significantly increased their investments in Chinese local currency bonds. Purpose: This study aims to examine the effects of foreign participation on Chinese government bond yields. Research methodology: This study adopts a robust least squares model and a cointegration model. Results: (Greater) foreign participation can significantly decrease 10-year Chinese government bond yields. Novelty: There are almost no studies of the benefits and costs of foreign participation in Chinese bond markets. The conclusion drawn from this study is the first of its kind in the academic literature on the Chinese market, and contributes to knowledge about foreign participation in local currency bond markets.
Journal: Folia Oeconomica Stetinensia
- Issue Year: 23/2023
- Issue No: 2
- Page Range: 222-240
- Page Count: 19
- Language: English