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Announcement effect on the credit spreads of US dollar Malaysian bonds

conference contribution
posted on 2007-01-01, 00:00 authored by Chee Yap, Gerard Gannon
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.

History

Event

Asian Financial Association. Conference (18th : 2007 : Hong Kong, China)

Pagination

1 - 37

Publisher

Asian Finance Association

Location

Hong Kong,, China

Place of publication

Hong Kong, China

Start date

2007-07-04

End date

2007-07-07

Language

eng

Publication classification

E1 Full written paper - refereed; E Conference publication

Title of proceedings

AsFA/FMA 2007 : Asian Finance Association Conference programme

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