말레이시아와 인도네시아의 전통 및 이슬람 채권시장 간 관계 분석

This study analyzes the relationship between the conventional bond markets and Islamic bond markets in Malaysia and Indonesia. At this time, conventional and Islamic bonds are subdivided into government bonds and corporate bonds, and the relationship between them is also analyzed. For empirical analysis, daily bond index data from Malaysia and Indonesia were used, and the DCC-GARCH model was used to examine time-varying volatility and correlation between bond markets. As a result of the analysis, it was found that there is a transfer effect between conventional and Islamic bond yields in Malaysia and Indonesia. In addition, there was also a volatility transfer effect between them, showing a phenomenon in which traditional and Islamic bond yields were synchronized in both countries. Indeed, the relationship between bond markets by type also showed a volatility transfer effect in both countries. Next, as for the correlation between bond yields by type, in the case of Malaysia, only the correlation between bond yields of similar types was suggested to be high. On the other hand, in Indonesia, the correlation between bond yields was high in all cases. Based on these results, it can be confirmed that Malaysia has a high advantage of diversification through bond investment by type, whereas Indonesia has a low advantage of diversification.