Online Appendix of the paper " How does sovereign bond market integration relate to fundamentals and CDS spreads?"

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1 Online Appendix of the paper " How does sovereign bond market integration relate to fundamentals and CDS spreads?" Appendix A.1 - Summary statistics for sovereign bond returns Appendix A.2 - Correlations between sovereign bond returns Appendix A.3- Correlations between sovereign bond, diversification portfolio and world bond index Appendix A.4 - Summary statistics of the sovereign bond integration measures by maturity segment Appendix A.5 - Definition of the variables used in the robustness regressions Appendix A.6 - Summary statistics and cross-correlations of the variales used in the panel regressions Appendix A.7- Univariate Regressions Appendix A.8 - Additional robustness tests discussed in the paper Appendix A.9 - Statistics of the sovereign bond integration measures from hedged returns 1

2 Appendix A.1 - Summary statistics for sovereign bond returns Panels A-G of Table A.1 present descriptive statistics of the returns for all-maturity government bond indices and by maturity segments (1-3, 3-5, 5-7, 7-10, and >10) for the developed markets (DMs) and Emerging markets (EMs). Bond index returns of DMs are proxied by CITI/SSS except for Canada, Germany, Japan, and Portugal, we use the Bank of America Merrill Lynch (BOA ML) and for Singapore, we use JP Morgan because of longer historical span. The emerging markets bond index returns are proxied by the JP Morgan indices. The bond indices for Malaysia, Mexico and Taiwan are from CITI/SSS. Returns are monthly percentage, denominated in USD. The period is from January1986 or later to December For each country and maturity band, the panels present the annualized mean and standard deviation (SD) over the whole sample period, skeweness, kurtosis, and first order autocorrelation. B-J is the Bera-Jarque test for normality based on excess skewness and kurtosis. Q is the Ljung-Box test for autocorrelation of order 12 for the returns and the returns squared. EN-AN and EN-AP are respectively the Engle-Ng (1993) negative size bias and positive size bias test on the returns. Panel A- Developed markets (all-maturity) country Start Annualized code Date Auto- Corr Mean SD Skew. Kur. AN AP Australia AUS Jan % 12.61% Austria AUT Sep % 10.76% Belgium BEL Dec % 11.25% Canada CAN Jan % 8.87% Denmark DNK Mar % 11.03% Finland FIN Dec % 10.76% France FRA Jan % 11.42% Germany DEU Jan % 11.64% Greece GRC Apr % 28.93% Ireland HUN Sep % 12.94% Italy IRL Jan % 12.57% Japan JPN Jan % 12.89% Netherlands NLD Jan % 11.62% New Zealand NZL Sep % 12.95% Norway NOR Dec % 11.07% B-J p- value Q(z) 12 p- p- value Q(z2 ) 12 value EN- EN- 2

3 Panel A- Continued country Start Annualized Auto- p- p- p- EN- EN- B-J Q(z) code date Mean SD Skew. Kur. Corr value 12 value Q(z2 ) 12 value AN AP Portugal PRT Sep % 13.57% Singapore SGP Sep % 7.23% Spain ESP Dec % 12.30% Sweden SWE Dec % 12.13% Switzerland CHE Jan % 12.68% UK GBR Jan % 11.96% Panel B- Emerging markets (all-maturity) country Start Annualized Auto- p- p- p- EN- EN- B-J Q(z) Mean SD Skew. Kur. value 12 value Q(z2 ) code date Corr 12 value AN AP Brazil BRA Jan % 20.12% Chile CHL Nov % 12.77% China CHN Dec % 3.81% Colombia COL Jan % 16.66% Czech Rep. CZE Dec % 15.13% Hungary HUN Dec % 22.04% India IND Dec % 10.59% Indonesia IDN Jan % 21.20% Korea KOR Dec % 14.08% Malaysia MYS Dec % 6.87% Mexico MEX Dec % 14.38% Poland POL Sep % 16.98% South Africa ZAF Aug % 21.49% Taiwan TAI Jun % 5.67% Thailand THA Dec % 9.29% Turkey TUR Apr % 18.81%

4 Panel C- 1-3 Maturity Start date Annualized Auto- B-J Mean SD Skew. Kur. Corr EN- 12 Q(z 2 EN- ) 12 AN AP Australia Jan % 11.87% Austria Sep % 10.39% Belgium Dec % 10.88% Canada Jan % 7.59% Denmark Mar % 10.83% Finland Dec % 10.27% France Jan % 10.91% Germany Jan % 11.55% Greece Apr % 17.39% Ireland Sep % 10.95% Italy Jan % 11.67% Japan Jan % 11.84% Netherlands Jan % 11.25% New Zealand Sep % 12.93% Norway Dec % 11.12% Portugal Sep % 11.63% Singapore Sep % 6.21% Spain Dec % 11.24% Sweden Dec % 11.92% Switzerland Jan % 12.45% UK Jan % 10.36% Czech Rep. Dec % 14.23% Hungary Dec % 19.79% Korea Dec % 12.92% Malaysia Dec % 6.65% Mexico Dec % 11.26% Poland Sep % 15.79% South Africa Aug % 19.99% Taiwan Jun % 5.79%

5 Panel D- 3-5 Maturity Start date Annualized Auto- B-J Mean SD Skew. Kur. Corr EN- 12 Q(z 2 EN- ) 12 AN AP Australia Jan % 12.24% Austria Sep % 10.57% Belgium Dec % 11.05% Canada Jan % 8.15% Denmark Mar % 11.03% Finland Dec % 10.60% France Jan % 11.08% Germany Jan % 11.75% Greece Apr % 19.29% Ireland Sep % 12.80% Italy Jan % 12.22% Japan Jan % 12.24% Netherlands Jan % 11.41% New Zealand Sep % 13.09% Norway Dec % 11.15% Portugal Sep % 14.05% Singapore Sep % 6.81% Spain Dec % 11.91% Sweden Dec % 12.05% Switzerland Jan % 12.50% UK Jan % 10.76% Czech Rep. Dec % 14.77% Hungary Dec % 22.25% Korea Dec % 14.00% Malaysia Dec % 7.20% Mexico Dec % 12.15% Poland Sep % 16.97% South Africa Aug % 17.51% Taiwan Jun % 5.73%

6 Panel E- 5-7 Maturity Start date Annualized Auto- B-J Mean SD Skew. Kur. Corr EN- 12 Q(z 2 EN- ) 12 AN AP Australia Jan % 12.69% Austria Sep % 10.81% Belgium Dec % 11.33% Canada Jan % 9.87% Denmark Mar % 11.28% Finland Dec % 15.29% France Jan % 11.43% Germany Jan % 12.08% Greece Apr % 20.48% Ireland Sep % 12.06% Italy Jan % 12.85% Japan Jan % 12.77% Netherlands Jan % 11.70% New Zealand Sep % 13.15% Norway Dec % 11.37% Portugal Sep % 16.33% Singapore Sep % 7.70% Spain Dec % 12.55% Sweden Dec % 12.27% Switzerland Jan % 12.63% UK Jan % 11.40% Czech Rep. Dec % 15.43% Hungary Dec % 25.04% Korea Dec % 16.36% Malaysia Dec % 7.70% Mexico Dec % 13.38% Poland Sep % 18.70% South Africa Aug % 20.94% Taiwan Jun % 5.69%

7 Panel F Maturity Start date Annualized Auto- B-J Mean SD Skew. Kur. Corr EN- 12 Q(z 2 EN- ) 12 AN AP Australia Jan % 13.31% Austria Sep % 11.15% Belgium Dec % 11.77% Canada Jan % 9.47% Denmark Mar % 11.69% Finland Dec % 11.15% France Jan % 11.96% Germany Jan % 12.13% Greece Apr % 20.43% Ireland Sep % 13.77% Italy Jan % 13.77% Japan Jan % 13.53% Netherlands Jan % 12.13% New Zealand Sep % 13.62% Norway Dec % 11.52% Portugal Sep % 15.31% Singapore Sep % 8.86% Spain Dec % 13.32% Sweden Dec % 12.79% Switzerland Jan % 12.77% UK Jan % 12.13% Czech Rep. Dec % 16.18% Hungary Dec % 27.78% Korea Dec % 16.64% Malaysia Dec % 8.96% Mexico na Poland Sep % 19.73% South Africa Aug % 22.03% Taiwan Jun % 5.78%

8 Panel G - >10 Maturity Start date Annualized Auto- B-J Mean SD Skew. Kur. Corr EN- 12 Q(z 2 EN- ) 12 AN AP Australia Jan % 14.26% Austria Sep % 12.89% Belgium Dec % 12.53% Canada Jan % 10.68% Denmark Mar % 12.99% Finland Dec % 11.63% France Jan % 13.19% Germany Jan % 13.92% Greece Apr % 30.14% Ireland Sep % 14.19% Italy Jan % 14.88% Japan Jan % 14.41% Netherlands Jan % 13.08% New Zealand Sep % 13.52% Norway Dec % 11.71% Portugal Sep % 21.41% Singapore Sep % 10.41% Spain Dec % 14.55% Sweden Dec % 13.82% Switzerland Jan % 13.50% UK Jan % 13.70% Czech Rep. Dec % 17.08% Hungary Dec % 29.48% Korea Dec % 20.56% Malaysia Dec % 10.89% Mexico Dec % 17.75% Poland Sep % 20.99% South Africa Aug % 23.59% Taiwan Jun % 6.35%

9 Appendix A.2- Correlations between sovereign bond returns The table presents cross-correlations among the different maturity bands for DMs and EMs All >10 All >10 All >10 All >10 Developed markets Australia Austria Belgium Canada All > Denmark Finland France Germany All > Greece Ireland Italy Japan All > Netherlands New Zealand Norway Portugal All > na na na na na

10 Table A.2- continued All >10 All >10 All >10 All >10 Singapore Spain Sweden Switzerland All > UK US All > Emerging markets All >10 All >10 All >10 All >10 Czech Rep Hungary Korea Malaysia All > Mexico Poland South Africa Taiwan All na na na na na >

11 Appendix A.3- Correlations between sovereign bond, diversification portfolio and world bond index Panels A-F of Table A.3 present the cross-correlation between each bond index return j, its corresponding Diversification Portfolio (DPj ) and the World Bond Market Portfolio (W) as well as correlations between DPj and W. Panel A displays the all-maturity government bond indices for the developed markets (DMs) and Emerging markets (EMs). Panels B-F display by maturity segments (1-3, 3-5, 5-7, 7-10, and >10). The diversification portfolios are constructed from Eq. (3) of the paper. The substitute assets are detailed in Appendix A of the paper. Panel A- All-maturity AUS AUT BEL CAN DNK FIN FRA DEU GRC HUN IRL JPN NLD NZL NOR PRT SGP ESP SWE CHE GBR r (R j, R W ) r (R j,dp j ) r (DP j,r W ) BRA CHL CHN COL CZE HUN IND IDN KOR MYS MEX POL ZAF TAI THA TUR r (R j, R W ) r (R j,dp j ) r (DP j,r W ) Panel B- 1-3 Maturity AUS AUT BEL CAN DNK FIN FRA DEU GRC HUN IRL JPN NLD NZL NOR PRT SGP ESP SWE CHE GBR r (R j, R W ) r (R j,dp j ) r (DP j,r W ) CZE HUN KOR MYS MEX POL ZAF TAI r (R j, R W ) r (R j,dp j ) r (DP j,r W ) Panel C- 3-5 Maturity AUS AUT BEL CAN DNK FIN FRA DEU GRC HUN IRL JPN NLD NZL NOR PRT SGP ESP SWE CHE GBR r (R j, R W ) r (R j,dp j ) r (DP j,r W ) CZE HUN KOR MYS MEX POL ZAF TAI r (R j, R W ) r (R j,dp j ) r (DP j,r W )

12 Appendix A.3 continued Panel D- 5-7 Maturity AUS AUT BEL CAN DNK FIN FRA DEU GRC HUN IRL JPN NLD NZL NOR PRT SGP ESP SWE CHE GBR r (R j, R W ) r (R j,dp j ) r (DP j,r W ) CZE HUN KOR MYS MEX POL ZAF TAI r (R j, R W ) na 0.53 r (R j,dp j ) na 0.77 r (DP j,r W ) na 0.66 Panel E Maturity AUS AUT BEL CAN DNK FIN FRA DEU GRC HUN IRL JPN NLD NZL NOR PRT SGP ESP SWE CHE GBR r (R j, R W ) r (R j,dp j ) r (DP j,r W ) CZE HUN KOR MYS MEX POL ZAF TAI r (R j, R W ) na r (R j,dp j ) na r (DP j,r W ) na Panel F- >10 Maturity AUS AUT BEL CAN DNK FIN FRA DEU GRC HUN IRL JPN NLD NZL NOR PRT SGP ESP SWE CHE GBR r (R j, R W ) na r (R j,dp j ) na r (DP j,r W ) na CZE HUN KOR MYS MEX POL ZAF TAI r (R j, R W ) na r (R j,dp j ) na r (DP j,r W ) na 0.73 na

13 Appendix A.4 - Summary statistics of the sovereign bond integration measures by maturity segment Panels A-E reports start date, mean, standard deviation (SD), trend coefficient and its t-stat for the integration measures of the bond indices by maturity segment 1-3, 3-5, 5-7, 7-10, and >10. The integration measures are estimated from the E-L model of Section I. The standard errors for the trend tests of the individual regressions are heteroskedasticity and autocorrelation consistent and are obtained from the Newey-West (1987) correction with six lags. For the trend tests by region, we run panel regressions with country fixed effects and a trend. The standard errors are clustered by country and time. We report the trend coefficient and t- Start date Mean SD Trend ( 1200) t-stat Mean SD Trend ( 1200) t-stat Mean SD Trend ( 1200) t-stat Panel A- Maturity 1-3 Panel B-Maturity 3-5 Panel C- Maturity 5-7 Australia Jan Austria Sep Belgium Dec Canada Jan Denmark Mar Finland Dec France Jan Germany Jan Greece Apr Ireland Sep Italy Jan Japan Jan Netherlands Jan New Zealand Sep Norway Dec Portugal Sep Singapore Sep Spain Dec Sweden Dec Switzerland Jan UK Jan Czech Rep. Dec Hungary Dec Korea Dec Malaysia Dec Mexico Dec Poland Sep South Africa Aug na na na na Taiwan Jun

14 Appendix A.4 continued Start Trend Trend Mean SD t-stat Mean SD date ( 1200) ( 1200) Panel D-Maturity 7-10 Panel E-Maturity >10 t-stat Pool DM & EM DM DM ex. Euro Eurozone Euro Core Euro Periph EM Maturity 1-3 Australia Jan Mean Austria Sep SD Belgium Dec Trend Canada Jan t-stat Denmark Mar Maturity 3-5 Finland Dec Mean France Jan SD Germany Jan Trend Greece Apr t-stat Ireland Sep Maturity 5-7 Italy Jan Mean Japan Jan SD Netherlands Jan Trend New Zealand Sep t-stat Norway Dec na na na na Maturity 7-10 Portugal Sep Mean Singapore Sep SD Spain Dec Trend Sweden Dec t-stat Switzerland Jan Maturity >10 UK Jan Mean Czech Rep. Dec SD Hungary Dec Trend Korea Dec na na na na t-stat Malaysia Dec Mexico Dec-01 na na na na Poland Sep South Africa Aug Taiwan Jun

15 Appendix A.5 - Definition of the variables used in the robustness regressions Variable Name Real macroeconomic variables Industrial Production growth D IP IP volatility s (IP) Change in unemployment rate D UNEMPL Unemployment volatility s (UNEMPL) Used as additional controls FX volatility s (FX) Duration Public Debt/GDP SENT Quality of institutions Conflict Democratic Tendencies Government Actions DUR PD/GDP SENT QIS CONFLICT DEMTEN GOVACT Variables in interaction with illiquidity Business Cycle Dummy Dummy BC Description measured as the difference in logs of the industrial production index (seasonally adjsuted) at time t and t-12, t in months. Frequency: Monthly. Source: OECD and IFS through Datastream. measured by fitting a GARCH(1,1) to the shocks to monthly IP growth rates. IP shocks are estimated from an ARIMA(p,q). measured as the difference in logs of the unemployment rate (seasonally adjsuted) at time t and t-12, t in months. Frequency: Monthly. Source: OECD and IFS t measured by fitting a GARCH(1,1) to the shocks to monthly unemployment growth rates. Unemployment shocks are estimated from an ARIMA(p,q). Frequency: Monthly. Source: OECD and IFS through Datastream. Realized foreign exchange rate (FX) volatility measured by cumulating daily squared changes in foreign exchange rate expressed as US dollar unit per foreign currency. We then take a 12-month moving average of the monthly FX volatility measures. Frequency: Monthly Duration is the equally-weighted average of individual bodns durations. Frequency: Monthly. Source: Bloomberg Total public debt divided by Gross Domestic Product (GDP). Frequency: Annual. Source: World Bank Development Indicators (WDI). Fiscal Space FS Inverse of tax-years it would take to repay the public debt following Aizenman et al. (2013). The denominator, Tax base, is tax revenue/gdp. Public Debt is public debt/gdp. Frequency: Annual. Source: WDI. Global investor sentiment (alternative variable) Political ratings subcomponents SENT is the first principal component of 6 proxies (trading volume; the dividend premium; the closed-end fund discount; the number and first-day returns on IPOs; and the equity share in new issues) as used in Baker and Wurgler (2007). Data available at jwurgler. Data is from 01/ /2010. Frequency: Monthly. The sum of ICRG political risk sub-components: Law and Order, Bureaucratic Quality, and Corruption. The index has 16 points. It is scaled to range from 0 (weak instituions) to 1(strong institutions). Frequency: Monthly. Source: International Country Risk Guide (ICRG). The sum of ICRG political risk sub-components: Internal Conflicts, External Conflicts, Religious Tensions, and Ethnic Tensions. The index has 36 points. It is scaled to range from 0 (no conflicts) to 1 (intense conflicts). Frequency: Monthly. Source: International Country Risk Guide (ICRG). The sum of ICRG political risk sub-components: Military in Politics and Democratic Accountability. The index has 12 points. It is scaled to range from 0 (weak democracy) to 1 (strong democracy). Frequency: Monthly. Source: International Country Risk Guide (ICRG). The sum of ICRG political risk sub-components: Government Stability, Socioeconomic Conditions, and Investment Profile. The index has 36 points. It is scaled to range from 0 (weak government actions) to 1(strong government actions). Frequency: Monthly. Source: International Country Risk Guide (ICRG). Business Cycle Peak and Trough dates. Frequency: Monthly. Source: Economic Cycle Research Institute (ECRI). Completed with data from Hsieh, et al., A Chronology of International Business Cycles Through Nonparametric Decoding. Federal Reserve Bank of Kansas City RWP

16 Appendix A.6 - Summary statistics and cross-correlations of the variales used in the panel regressions Panel A - Descriptive statistics by country RATING CDS-5 year (bps ) POL QIS CONF LICT GOV- ACT DEM- TEN p s(p ) D IP s( IP) D UNEMPL s (UNEMPL) ILIQ (E-W) (bps) Developed markets Australia Austria Belgium Canada Denmark Finland France Germany Greece Ireland Italy Japan Netherlands New Zealand Norway Portugal Singapore Spain Sweden Switzerland UK ILIQ (V-W) (bps) 16

17 Panel A of Appendix A.6 - Continued RATING CDS-5 year (bps ) POL QIS CONF LICT GOV- ACT DEM- TEN p s(p ) D IP s( IP) D UNEMPL s (UNEMPL) ILIQ (E-W) (bps) ILIQ (V-W) (bps) Emerging markets Brazil Chile China Colombia Czech Rep Hungary India Indonesia Korea Malaysia Mexico Poland South Africa Taiwan Thailand Turkey

18 Panel A of Appendix A.6 - Continued ILIQ13 ILIQ35 ILIQ57 ILIQ710 ILIQ>10 DUR D FX s (FX) Local Stock Market Return PD/GDP FS Developed markets Australia Austria Belgium Canada Denmark Finland France Germany Greece Ireland Italy Japan Netherlands New Zealand Norway Portugal Singapore Spain Sweden Switzerland UK

19 Panel A of Appendix A.6 - Continued Emerging markets ILIQ13 ILIQ35 ILIQ57 ILIQ710 ILIQ>10 DUR D FX s (FX) Local Stock Market Return PD/GDP FS Brazil Chile China Colombia Czech Rep Hungary India Indonesia Korea Malaysia Mexico Poland South Africa Taiwan Thailand Turkey

20 Panel B - Cross-correlations of regression variables II II 1.00 RATING RATING year CDS (bps ) 5-year CDS (bps ) POL POL p p s(p ) s(p ) D IP D IP s( IP) s( IP) D UNEMPL s (UNEMPL) D UNEMPL s (UNEMPL) ILIQ (E-W) (bps) ILIQ (E-W) (bps) ILIQ (V-W) (bps) ILIQ13 ILIQ35 ILIQ57 ILIQ710 ILIQ>10 ILIQ (V-W) (bps) ILIQ ILIQ ILIQ ILIQ ILIQ> Bolded correlations are significant at 10% or less. 20

21 Panel C- Descriptive statistics of the cross-section of the full sample II RATING 5-year CDS (bps ) POL p s(p ) D IP s( IP) D UNEMPL s (UNEMPL) ILIQ (E-W) (bps) ILIQ (V-W) (bps) ILIQ13 ILIQ35 ILIQ57 ILIQ710 ILIQ>10 Average Std. Dev st quartile nd quartile rd quartile rd-1st D- Descriptive statistics of the cross-section of the DM sample II RATING 5-year CDS (bps ) POL p s(p ) D IP s( IP) D UNEMPL s (UNEMPL) ILIQ (E-W) (bps) ILIQ (V-W) (bps) ILIQ13 ILIQ35 ILIQ57 ILIQ710 ILIQ>10 Average Std. Dev st quartile nd quartile rd quartile rd-1st Panel E- Descriptive statistics of the cross-section of the EM sample II RATING 5-year CDS (bps ) POL p s(p ) D IP s( IP) D UNEMPL s (UNEMPL) ILIQ (E-W) (bps) ILIQ (V-W) (bps) ILIQ13 ILIQ35 ILIQ57 ILIQ710 ILIQ>10 Average Std. Dev st quartile nd quartile rd quartile rd-1st

22 Appendix A.7- Univariate Regressions The table reports the estimated coefficients from univariate panel regressions of the all-maturity bond integration indices on variables V i,t which include credit quality, political risk, inflation (level and risk), rela macro variables, illiquidity, global investor sentiment and other local factors such as Public debt to GDP and fiscal space, bond characteristics such as duration, or global variables such as VIX and SENT. The estimated models are based on the general equation below, II i,t = α + β 1 V i,t 1 + θ Trend + ε i,t The trend and constant from univariate regressions are not reported but we report the trend coefficient and its from a pooled regression with only a constant and a trend. The adjusted R 2 of this regression is a benchmark for the univariate regressions adjusted R 2. We run unbalanced regression as not all the explanatory variables are available for all the cross-sectional units. All explanatory variables are lagged. P- values in parentheses are clustered by country and time. The sample period is from 01/1986 or later to 12/2012. Definition of the variables and data source are in Appendix B of the paper and online Appendix A.5. Numbers in bold represent significance at least at the 10% level. coefficient / s Adjusted R 2 / # observ. RATING % (0.00) 7122 POL % (0.00) 7377 p ( 10 2 ) % (0.00) 6579 s ( p ) ( 10 2 ) % (0.00) 6535 D IP ( 10 2 ) % (0.01) 7413 s (IP) ( 10 2 ) % (0.32) 6445 D UNEMPL( 10 2 ) % (0.05) 6601 s (UNEMPL)( 10 2 ) % (0.08) 7016 ILIQ ( 10 4 ) % (0.03) 6848 PD/GDP % (0.13) 5403 FS % (0.77) 7043 VIX ( 10 2 ) % (0.00) 6562 SENT ( 10 2 ) % (0.06) 5475 DUR ( 10 2 ) % (0.69) 6780 Trend( 1200) % (0.01)

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