ISSN: 2222-6990
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In this paper, we study the dynamic relationship of bond yields of Malaysia, Singapore,
Thailand, India, and Japan by using 43 observations for the period of 2007 to July 2010. This
study analyzes the government bond returns and the yields curve for the five countries with
different term to maturity of 5 years and 15 years. The results indicate that the yields on
government bond for the five countries are all consistent with the term structure of interest
rate theory where the yields to maturity increase as the term to maturity increase during the
period of 2007 to 2010. There is also evidence supporting the yields to maturity for all five
countries are significantly stationary at order one or I(1). Moreover, the findings also show that
there are a few groups of countries were found co-integration with one vector. In long run, the
results find that between the group of countries, Malaysia and India, Singapore and Thailand,
and Singapore and India, the bond returns for the 5 and15 years term to maturity are cointegrated with at least one co-integrating vectors.
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