This study investigates the degree of interdependencies among seven individual East Asian bond
markets and the U.S. market. Results based on co-integration analysis and GJR-DCC-GARCH
model suggest that: (i) there is no long-run co-integration relationship between any bond market
pairs in the sample; (ii) the East Asian bond markets, however, show interdependencies in the
short-run. Significant information spillover effects are identified at both return and volatility level
between country pairs, although the degrees of the effects vary; (iii) the decoupling and recoupling
phenomenon of the conditional correlations also exists in the bond markets during and after the
recent global financial crisis. Moreover, we find there is significant increase in time-varying conditional
correlations between East Asian bond market pairs (thirteen out of twenty one) after the crisis
period. Overall, these results indicate that the integration in East Asian bond markets is still at
its early stage compared to European markets, but is moving towards a more integrated market.
Keywords：Bond Markets in East Asia, Co-Integration, Return Spillover, Volatility Spillover, Dynamic
Conditional Correlation