Essays on Global Bond Market Integration: The Roles of Foreign Ownership, Auction Signals, and Currency Risk

Abstract

This dissertation investigates how global investors shape bond market integration through three interconnected mechanisms: cross-border asset ownership, informational dynamics in bond auctions, and currency-related risk preferences. The first chapter demonstrates that increased foreign ownership of sovereign bonds significantly strengthens the co-movement of bond yields across countries, using China's 2017 bond market liberalization as a case study. The second chapter identifies U.S. Treasury auctions as uniquely informative events that reveal global investor demand for long-term bonds, resulting in systematic declines in global yields. The third chapter explores how currency risk influences investor behavior, documenting systematic differences in return sensitivity and capital flow volatility driven by currency denomination and hedging practices.