Announcement effect on the credit spreads of US dollar Malaysian bonds

Yap, Chee Jin and Gannon, Gerard 2011, Announcement effect on the credit spreads of US dollar Malaysian bonds, Review of pacific basin financial markets and policies, vol. 14, no. 3, pp. 449-484, doi: 10.1142/S0219091511002202.

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Title Announcement effect on the credit spreads of US dollar Malaysian bonds
Author(s) Yap, Chee Jin
Gannon, Gerard
Journal name Review of pacific basin financial markets and policies
Volume number 14
Issue number 3
Start page 449
End page 484
Publisher World Scientific Publishing
Place of publication Singapore, Singapore
Publication date 2011-09
ISSN 0219-0915
Keyword(s) credit spreads
mahathir effect
Summary The main purpose of this paper is to extend the empirical research on the behavior of credit spreads on the USD denominated Malaysian bonds. 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. However, the resignation by the former Prime Minister, Dr Mahathir Mohamad, created a mixed response from the market. Using an error correction model, this study also found that the monetary policy by the US Federal Reserve has a long-term and significant impact on the behavior of the Malaysian USD issues. This study also provides further evidence that the current theoretical framework is sufficient to explain changes in the credit spread of bonds issued by the emerging market.
Language eng
DOI 10.1142/S0219091511002202
Field of Research 159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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