The Effects of Foreign Participation on Chinese Government Bond Yields
09 déc. 2023
À propos de cet article
Publié en ligne: 09 déc. 2023
Pages: 222 - 240
Reçu: 05 mars 2023
Accepté: 25 nov. 2023
DOI: https://doi.org/10.2478/foli-2023-0028
Mots clés
© 2023 Kerry Liu, published by Sciendo
This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.
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.