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Factors affecting the credit spreads behaviour of USD Malaysian bonds

Version 2 2024-06-18, 03:30
Version 1 2017-12-20, 09:36
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posted on 2024-06-18, 03:30 authored by CJ Yap, G Gannon
This paper addresses empirical analysis of Malaysian credit spreads in a number of directions. Firstly, the investigation of explanatory power of macroeconomic or market variables to the changes in the spreads. Secondly, use of daily data rather than data sampled to match typical macroeconomic data release. Third, a focused study on the market behaviour of bonds issued from a rapidly emerging market. Fourth, the inclusion of semi-parametric measures to better capture the behaviour of the credit spreads. This study finds that changes in credit spread of Malaysian bonds are only receptive to certain macroeconomic factors. Also changes in credit spreads are negatively correlated with the interest factor but this study could not find convincing evidence to support the argument of a negative relationship with the asset factor.

History

Pagination

1-44

Language

eng

Publication classification

CN.1 Other journal article

Copyright notice

2007, The Authors

Publisher

Deakin University, School of Accounting, Economics and Finance

Place of publication

Geelong, Vic.

Series

School Working Paper - Accounting/Finance Series ; SWP 2007/10

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