Emerging Market Bond Funds: A Comprehensive Analysis

Posted: 3 Dec 2007

See all articles by Sirapat Polwitoon

Sirapat Polwitoon

Sigmund Weis School of Business, Susquehanna University

Oranee Tawatnuntachai

Pennsylvania State University - School of Business Administration

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Abstract

We analyze U.S.-based emerging market bond funds over a ten-year (1996-2005) complete cycle of ups and downs in the dominant emerging bond markets. Emerging market bond funds outperform comparable domestic and global bond funds. The results are robust across both conditional and unconditional models. The funds also provide international diversification benefits to U.S. and international bond and equity portfolios. The funds exhibit persistence in performance and seasonality. Active funds, large funds and funds with high minimum purchases perform better on a total return basis but not on a risk-adjusted basis.

Keywords: Emerging markets, bond mutual funds, international diversification, international mutual funds, performance persistence

JEL Classification: G11, G12, G15

Suggested Citation

Polwitoon, Sirapat and Tawatnuntachal, Oranee, Emerging Market Bond Funds: A Comprehensive Analysis. Financial Review, Vol. 43, No. 1, February 2008, Available at SSRN: https://ssrn.com/abstract=1034961

Sirapat Polwitoon (Contact Author)

Sigmund Weis School of Business, Susquehanna University ( email )

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Selinsgrove, PA 17870
United States
570-372-4749 (Phone)

Oranee Tawatnuntachal

Pennsylvania State University - School of Business Administration ( email )

777 West Harrisburg Pike
Middletown, PA 17057-4898
United States
717-948-6160 (Phone)

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