Announcement effect on the credit spreads of US dollar Malaysian bonds
conference contribution
posted on 2007-01-01, 00:00authored byChee 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