Announcement effect on the credit spreads of US dollar Malaysian bonds

Yap, Chee Jin and Gannon, Gerard 2007, Announcement effect on the credit spreads of US dollar Malaysian bonds, in AsFA/FMA 2007 : Asian Finance Association Conference programme, Asian Finance Association, Hong Kong, China, pp. 1-37.

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Title Announcement effect on the credit spreads of US dollar Malaysian bonds
Author(s) Yap, Chee Jin
Gannon, Gerard
Conference name Asian Financial Association. Conference (18th : 2007 : Hong Kong, China)
Conference location Hong Kong,, China
Conference dates 4-7 July 2007
Title of proceedings AsFA/FMA 2007 : Asian Finance Association Conference programme
Editor(s) [Unknown]
Publication date 2007
Conference series Asian Financial Association Conference
Start page 1
End page 37
Publisher Asian Finance Association
Place of publication Hong Kong, China
Keyword(s) credit spreads
Malaysia
Mahathir effect
Summary We find that international political events have more influence on the changes of bond yield spreads from Malaysian USD issues than domestic events. Significant results are consistent across different issues. The resignation by the former Prime Minister, Dr. Mahathir, however created mix response from the market. Using error correction model, this study also found the monetary policy by Federal Reserve have long term and significant impact on the behaviour of the Malaysian USD issues.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category E1 Full written paper - refereed
ERA Research output type E Conference publication
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007938

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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