Relevant bibliographies by topics / Bond market

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Academic literature on the topic 'Bond market'

Author: Grafiati
Published: 4 June 2021
Last updated: 30 July 2024

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Journal articles on the topic "Bond market"

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Bessembinder, Hendrik, and William Maxwell. "Markets: Transparency and the Corporate Bond Market." Journal of Economic Perspectives 22, no. 2 (March 1, 2008): 217–34. http://dx.doi.org/10.1257/jep.22.2.217.

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For decades, corporate bonds primarily traded in an opaque environment. Quotations, which indicate prices at which dealers are willing to transact, were available only to market professionals, most often by telephone. Prices at which bond transactions were completed were not made public. The U.S. corporate bond market became much more transparent with the introduction of the Transaction Reporting and Compliance Engine (TRACE) in July 2002. Beginning that date, bond dealers were required to report all trades in publicly issued corporate bonds to the National Association of Security Dealers, which in turn made transaction data available to the public. In this paper, we describe trading protocols in the corporate bond market and assess the impact of the increase in transparency on the market. We review how TRACE has affected the costs that corporate bond investors paid to bond dealers for their transactions. We canvass the opinions of a variety of finance professionals and consider articles in the trade press to obtain a broader view of the impact of transparency on the corporate bond market
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BLAGUN, Ivan. "PRICE RELATIONSHIPS BETWEEN BOND MARKETS." WORLD OF FINANCE, no. 1(58) (2019): 28–42. http://dx.doi.org/10.35774/sf2019.01.028.

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Introduction. The strengthening of globalization processes leads to a greater integration of the domestic financial market into the global financial market, especially bond market. Ukraine is under significant influence of world economic processes. In this context the impact that has on the state of the domestic market of Ukraine our financial market, as well as the actions of American financial regulators. On the background of the formation of excessive debt structure of the global financial market, including the US market, the financial market of Ukraine in recent time, there is also the nature of the debt market which is a key financial instrument is bonds, i.e. government bonds. Not less important and of the dual influence of the two basic segments of the financial market between market shares and bonds that affects the efficiencyof capital investors. The purposeis the research of the relationships that are formed between the markets of shares and bonds on the example of financial markets of the USA and Ukraine. Results. The price relationship between the bond markets of countries with different levels of development has been considered. For the basic indicators, characterizing the main parameters of the bond market the analysis of the influence of the US bond market to the domestic market, determined correlations between the rates of return on ten-year bonds. It has been established that the time series of the rate on ten-year bonds have signs of nonstationarity. Based on the identified nonstationarity time series were analyzed for cointegration. It is determined that the modeling-level rate bonds in Ukraine can be improved by applying advanced Sapsan the value of the rate of the bonds in the United States. Conclusions. The results do not indicate the manifestation of a dependence between the value of the rates of ten-year bonds in the United States and Ukraine. Also there is no dependence between the current growth rate of bonds. A more detailed analysis also showed the absence of long-term balance between the rates of these bonds. The analysis of the interaction between equity markets and bond between them showed that the existing dual influence should be viewed through the prism of external factors that can lead to very different behavior of these markets, on the one hand they are competitors, in terms of raising capital, on the other in some periods, they are characterized by complementarity.
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Kemetmüller, Thomas. "The Theory and Empirics of Financial Development in the East Asian Bond Markets." Vienna Journal of East Asian Studies 5, no. 1 (December 1, 2014): 45–76. http://dx.doi.org/10.2478/vjeas-2014-0003.

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Abstract The Asian financial crisis marked a turning point in financial development in East Asia that brought the development of bond markets within the focus of policy-makers. This paper tracks the benefits of an advanced bond market, the current state of the East Asian corporate and government bond markets and their rapid evolution since the Asian crisis. Subsequently, a multivariate model is used to determine the endogenous economic and institutional factors that drove growth in the region’s bond markets. The following findings may be noted: (1) growth in the government bond market was driven by the monetary sterilisation efforts of East Asian central banks in order to cope with excessive liquidity, (2) the government bond market may crowd out the corporate bond market, and (3) the corporate bond market grew particularly strongly during the global financial crisis.
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Liu, Kerry. "The Chinese Government Bond Markets: Foreign Investments and Market Efficiency." Global Journal of Emerging Market Economies 14, no. 1 (January 2022): 93–104. http://dx.doi.org/10.1177/09749101211070954.

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The Chinese bond market is the world’s second largest, with government bonds accounting for the majority of the market. The Chinese government has been gradually opening up its bond markets to foreign investors since 2015. However, studies on the Chinese bond markets are very few. Based on data of most frequently traded government bonds in 2015 and 2019, statistical tests including Ken-tau tests and variance ratio tests show that while Chinese government bond markets were generally not efficient in 2015, the efficiency has significantly improved in 2019. The change of market efficiency is likely from the increasing foreign investments, thus a more diverse investor base of the Chinese government bonds. Some structural issues remain such as immature derivative market, low marketization of commercial banks, and restrictions to foreign investors. Finally, this study discusses the implications for investors, policymakers and academics.
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Zhou, Yining. "China's Bond Market: The Current Situation, Problems, and Countermeasures." Advances in Economics, Management and Political Sciences 48, no. 1 (December 1, 2023): 230–37. http://dx.doi.org/10.54254/2754-1169/48/20230456.

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It is undeniable that the bond market plays a key role in the social economy as a whole. Economic development and the state of the bond market often reflect the state of the country's financial markets. Bond markets in China have developed rapidly and have a large financing capacity. In recent years, however, the volatility of the bonds in China has gradually increased due to epidemics, policies and funds, etc. The bond market has undergone a drastic adjustment. This paper describes the current bond market situation in China, analyzes the problems, and proposes solutions for the market. The main problems are the credit risks in bond rating and the impact of political risks on bond market. This paper provides advice on credit risk from the perspective of creating a credit environment, improving data quality, and strengthening regulation. This study has a positive impact on China's bond market's development.
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Trivedi, Dr Samamba Lennox. "Legal Aspects of Promoting Investor and Issuer Participation in Sub-Saharan Africa Equity Markets—The Case for a Functional Bond Market." International Journal of Research and Innovation in Social Science VII, no. VIII (2023): 249–73. http://dx.doi.org/10.47772/ijriss.2023.7818.

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This study examines the Zambian regulatory and institutional framework which governs the public distribution of securities so as to establish whether or not the said framework provides adequate incentives for the growth of bond issues and the bond market in Zambia. The study employs the doctrinal and the non-doctrinal approaches to evaluating the effectiveness of regulatory rules and institutions. The results of the study are: (i) the Zambian bond market is in the nascent stage of development like the bond markets of most Sub-Saharan jurisdictions (ii) the corresponding equity markets in Sub-Saharan jurisdictions are also under-developed in comparison to their South American, Asian and European counter-parts (iii) there are quantitative restrictions on the investment of surplus pension monies in securities, and (iv) there is limited pension fund participation in domestic Sub-Saharan securities markets. This study argues that the efforts to enhance the investor base for Sub-Saharan equity markets could be augmented by a functional bond market which could serve as a source of investors for bond-like equities, convertible bonds and equity-linked bonds. The study argues further that by promoting the issue of convertible and other equity-linked Green and Sustainability Bonds, a functional bond market could serve as a source of investors for the equity markets as investors convert the bonds to equities or, exchange the bonds with equities or indeed subscribe for new issues of equity securities. A corollary argument is that a vibrant and successful secondary bond market is likely to incentivize new issues of equity securities and enhance the supply of equity securities to the market so as to match up the escalating demand—a condition which is necessary for price stability. The other argument is that the replacement of the quantitative restrictions with the prudent-person rule for the investment pf surplus pension fund monies is likely to promote the participation of pensions funds in bond markets and ensure the success of Sub-Saharan Africa securities markets.
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Liao, Zhewen, Hongli Zhang, Kun Guo, and Ning Wu. "A Network Approach to the Study of the Dynamics of Risk Spillover in China’s Bond Market." Entropy 23, no. 7 (July 20, 2021): 920. http://dx.doi.org/10.3390/e23070920.

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Since 2018, the bond market has surpassed the stock market, becoming the biggest investment area in China’s security market, and the systemic risks of China’s bond market are of non-negligible importance. Based on daily interest rate data of representative bond categories, this study conducted a dynamic analysis based on generalized vector autoregressive volatility spillover variance decomposition, constructed a complex network, and adopted the minimum spanning tree method to clarify and analyze the risk propagation path between different bond types. It is found that the importance of each bond type is positively correlated with liquidity, transaction volume, and credit rating, and the inter-bank market is the most important market in the entire bond market, while interest rate bonds, bank bonds and urban investment bonds are important varieties with great systemic importance. In addition, the long-term trend of the dynamic spillover index of China’s bond market falls in line with the pace of the interest rate adjustments. To hold the bottom line of preventing financial systemic risks of China’s bond market, standard management, strict supervision, and timely regulation of the bond markets are required, and the structural entropy, as a useful indicator, also should be used in the risk management and monitoring.
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Chakrabarti, Dr Manas. "Municipal Bond Market in India." Indian Journal of Applied Research 4, no. 3 (October 1, 2011): 83–85. http://dx.doi.org/10.15373/2249555x/mar2014/26.

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Thukral, Sonal, and Rahul Sikka. "Liquidity in Asian Financial Markets: Crowding Out or Spillover Effect." Applied Finance Letters 9, SI (November 18, 2020): 90–102. http://dx.doi.org/10.24135/afl.v9i2.251.

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The paper attempts to explore the relationship between the stock market and the corporate bond market, with a focus on the inter-dependency of liquidity between the two markets. The study employs a panel dataset to assess the impact of stock market liquidity on the corporate bond market liquidity for top five Asian economies (ranked by GDP) for the period 2008-2017. In contrast to limited number of earlier studies that reported a spillover effect of liquidity among the markets for stock and government bonds, the results of the present study convey that an increase in stock market liquidity tends to eat up the liquidity of the corporate bonds, even after controlling for government bond yield and inflation rate changes. The findings indicate a crowding out effect instead of a spillover effect, as indicated by related studies. The ‘flight-to-quality’ argument provides one possible explanation of liquidity moving away from one market to the other. This has an implication that if regulators’ policies are focused in developing only one type of market, it may crowd out the liquidity and the development of the other market. The study suggests the government to focus more on corporate bond market, which is yet to flourish in the Asian markets as compared to its stock market counterparts. The paper is one of the few attempts that focus on the corporate bond market and its liquidity and aims to ignite a debate on the possible linkages between liquidity of corporate bond market and the stock market.
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Abhilash, Sandeep S. Shenoy, Dasharathraj K. Shetty, and Aditi N. Kamath. "Do bond attributes affect green bond yield? Evidence from Indian green bonds." Environmental Economics 14, no. 2 (September 6, 2023): 60–68. http://dx.doi.org/10.21511/ee.14(2).2023.05.

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Over the years, green finance tools have gained considerable attention with the increased concern to achieve sustainability in the economy. Green bonds are one such new innovative green finance tool embodied with bonds and green attributes. However, research on the Indian green bond is relatively modest. Thus, this study aims to analyze the impact of bond attributes on green bond yield. The study retrieves green bond data from the Bloomberg and Climate Bonds Initiative databases from 2015 to 2022. To test the framed hypotheses, the study employs a panel regression technique with a random effect model. The findings of the study show a significant positive effect of bond ratings (β = 2.80926, p < 0.05) on green bond yield based on the argument that good-rated bonds serve as collateral in the security market. On the contrary, the result also reveals a significant negative effect of bond maturity (β = –0.327296, p < 0.05) and bond label (β = –3.16480, p < 0.05) on green bond yield. The results based on the observation suggest that when the certified bond is issued, this signals the greenness of the bond in the market and attracts high demand, whereas the long maturity ensures the green project construction for a longer period, resulting in a lower bond value. Thus, empirical findings reveal that bond attributes are the major factors in influencing bond yield. The obtained results serve as a prerequisite for potential issuers, investors, and policymakers to further popularize the green bond in the country.
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Dissertations / Theses on the topic "Bond market"

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Cook, David. "Pricing Bond Yields in the European Bond Market." Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/9.

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This paper analyzes macroeconomic factors and their effect on 2-year government bonds of 11 countries in the European Monetary Union. I specifically looked at how a simultaneous budget and trade surplus effect a country's bond yield spread relative to Germany's bond yield. My model showed that double surplus countries have a larger yield spread than countries that do not have a double surplus.
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Koppmann, Tobias. "Gedeckte Schuldverschreibungen in Deutschland und Grossbritannien Pfandbriefe und UK covered bonds im Rechtsvergleich /." Berlin : de Gruyter Recht, 2009. http://site.ebrary.com/id/10348538.

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Rachello, Valentina <1994&gt. "THE GREEN BOND MARKET IN EMERGING MARKET ECONOMIES Green Bond Market Development and Green Premium analysis in Emerging Market Economies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/15699.

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Climate change represents one of the most discussed topics of the last decade, as well as one of the major cause for concern. In fact, related risks are not only limited to the environment itself, but they also jeopardize the society and the economy at both national and global levels. For this reason, between the variety of tools designed to deal with climate change effects, also finance made available new instruments whose aim is the enhancement of the transition to a low-carbon, climate-resilient economy. Among them, green bonds became the main fixed-income asset to finance sustainable projects in fields such as renewable energy, transport, carbon emission, waste management and pollution. This paper explores characteristics, role and scope of green bonds and provides an analysis of the green bond market, considering in particular its stage of development in selected emerging market economies. Finally, a technical analysis considering the presence of a green bond premium in the emerging markets concludes the last section.
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Peterson, Rickard, Linn Höglund, and Carl Jarnegren. "Corporate Bonds : Analyzing the availability of the Swedish bond market." Thesis, Jönköping University, JIBS, Business Administration, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-458.

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In the past, the Swedish bond market has been distinguished for its illiquidity and difficulties with retrieving information. This is the starting point of our thesis and the purpose is to analyze and describe the availability of the present corporate bond market for manufacturing firms in Sweden. In order to fulfill the purpose, a qualitative method was used and interviews with different operators of the market were conducted. Our respondents were sampled from large issuing companies, the major intermediaries and companies that have not tried bonds as a financing tool.

To fulfill our purpose, we analyzed subjects as credit rating, capital market segmentation, regulations and volume. We came to the conclusion that the Swedish corporate bond market is somewhat underdeveloped. This is due to the lack of public information regarding the bonds, such as prices, outstanding bonds and interest rates.

The availability for already active companies is good, mainly due to the important role the intermediaries play. The regulations set by authorities do not have great effect on the large companies in general, since they issue large amounts, the cost associated with the regulations do not affect them in a considerable way. One could rather see a positive side with the regulations, for example the increase of foreign issuers that entered the market the last couple of years and hence increasing the liquidity. A credit rating is sometimes beneficial but not always, it is not a necessity to enter the bond market.

As a matter of fact, it seems like volume is the most important reason to why medium-sized companies have limited access to the market. Since the minimum recommended volume to issue is 50 million SEK, many companies are excluded due to lack of financing need. Another important factor concerning medium-sized companies is that they do not have sufficient experience, knowledge or interest in the bond market. There are probably companies that would like to enter the bond market, who do not have the opportunity to do so, but this do not have anything to do with the lack of credit rating, rather the high cost associated with it.

The conclusion drawn is that it is hard to compare small and medium-sized companies with large already established actors. This is due to different need of capital and overall knowledge about the debt market.

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Priyadarshi, Samaresh. "Optimal Bond Refunding: Evidence From the Municipal Bond Market." Diss., Virginia Tech, 1997. http://hdl.handle.net/10919/40526.

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This dissertation empirically examines refunding decisions employed by issuers of tax-exempt bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the time value. The issuer can realize at least as much as the intrinsic value by exercising immediately, when the option is in-the-money. Usually it is optimal for the holder of an in-the money American option to wait rather than exercise immediately, because the option has time value. It is rational for the holder to exercise the option when the total value of the option is no more than the intrinsic value. Option pricing theory can be used to identify two sub-optimal refunding strategies: those that refund too early, and those that refund too late. In such cases the holder incurs losses. I analyze the refunding decisions for two different samples of tax-exempt bonds issued between 1986 and 1993: the first consists of 2,620 bonds that are called, and the second contains 23,976 bonds that are never called. The generalized Vasicek (1977) model in the Heath, Jarrow, and Morton (1992) framework is used to construct binomial trees for interest rates, bond prices, and call option prices. The option pricing lattice is then used to compute the loss in value from sub-optimal refunding strategies, refunding efficiency, and months from optimal time for bonds in these two samples. Results suggest that sub-optimal refunding decisions cause losses to the issuers, which are present across bond and issuer characteristics. For the pooled sample of 26,596 bonds, the loss in value from sub-optimal refunding decisions totaled $7.2 billion, amounting to a loss of about 1.75% of total principal amount. Results indicate that issuers either wait too long to refund or never refund and cannot realize the present value saving of switching a high coupon bond with a low coupon bond, over a longer period of time. These results critically depend on the assumptions of underlying term structure model and are sensitive to model calibrated parameter values.
Ph. D.
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Sato, Kathy K. "Bond pricing with taxes in the US government bond market." Thesis, University of British Columbia, 1991. http://hdl.handle.net/2429/29696.

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Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conflicting arguments. The first is that of Schaefer's clientele effects. Schaefer finds that because of differing tax implications, investors will prefer some bonds to others, and no investor will want to hold all bonds. Litzenberger and Rolfo, meanwhile argue that a representative investor exists, and that all bonds are correctly priced for each tax bracket. In this situation, investors will hold positive amounts of all bonds. The purpose of this thesis, is to test which of these arguments hold in the US government bond market. A methodology similar to that used by Schaefer will be employed, however, we will replace the linear combination of Bernstein polynomials used by Schaefer with a different functional form known as basis splines. The period examined encompasses the pre-legislation, legislation, and the post-legislation period of the Tax Reform Act of 1986. We find that clientele effects exist during the pre-legislation period, that they diminish during the legislation period, and then disappear in post-legislation period.
Business, Sauder School of
Finance, Division of
Graduate
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Víťazka, Peter. "CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-165972.

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The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.
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Kim, Yong-Cheol. "Analysis of the Eurobond market /." Connect to resource, 1987. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265040192.

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Engman, Kristofer. "Bidding models for bond market auctions." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252346.

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In this study, we explore models for optimal bidding in auctions on the bond market using data gathered from the Bloomberg Fixed Income Trading platform and MIFID II reporting. We define models that aim to fulfill two purposes. The first is to hit the best competitor price, such that a dealer can win the trade with the lowest possible margin. This model should also take into account the phenomenon of the Winner's Curse, which states that the winner of a common value auction tends to be the bidder who overestimated the value. We want to avoid this since setting a too aggressive bid could be unprofitable even when the dealer wins. The second aim is to define a model that estimates a quote that allows the dealer to win a certain target ratio of trades. We define three novel models for these purposes that are based on the best competitor prices for each trade, modeled by a Skew Exponential Power distribution. Further, we define a proxy for the Winner's Curse, represented by the distance of the estimated price from a reference price for the trade calculated by Bloomberg which is available when the request for quote (RFQ) arrives. Relevant covariates for the trades are also included in the models to increase the specificity for each trade. The novel models are compared to a linear regression and a random forest regression method using the same covariates. When trying to hit the best competitor price, the regression models have approximately equal performance to the expected price method defined in the study. However, when incorporating the Winner's Curse proxy, our Winner's Curse adjusted models are able to reduce the effect of the Winner's Curse as we define it, which the regression methods cannot. The results of the models for hitting a target ratio show that the actual hit ratio falls within an interval of 5% of the desired target ratio when running the model on the test data. The inclusion of covariates in the models does not impact the results as much as expected, but still provide improvements with respect to some measures. In summary, the novel methods show promise as a first step towards building algorithmic trading for bonds, but more research is needed and should incorporate more of the growing data set of RFQs and MIFID II recorded transaction prices.
I denna studie utforskar vi modeller för optimal budgivning för auktioner på obligationsmarknaden med hjälp av data som samlats in från plattformen Bloomberg Fixed Income Trading och MIFID II-rapportering. Vi definierar modeller som ämnar att uppfylla två syften. Det första är att träffa det bästa konkurrentpriset så att en handlare kan vinna auktionen med minsta möjliga marginal. Denna modell bör också ta hänsyn till fenomenet Winner's Curse, som innebär att vinnaren av en så kallad common value auction tenderar att vara den budgivare som överskattat värdet. Vi vill undvika detta eftersom det kan vara olönsamt att skicka ett alltför aggressivt bud även om handlaren vinner. Det andra syftet är att definiera en modell som uppskattar ett pris som gör det möjligt för handlaren att vinna en viss andel av sina obligationsaffärer. Vi definierar tre nya modeller för dessa ändamål som bygger på de bästa konkurrentpriserna för varje transaktion vi har data på. Dessa modelleras av en Skew Exponential Power-fördelning. Vidare definierar vi en variabel som indirekt mäter fenomenet Winner's Curse, representerad av budprisets avstånd från ett referenspris för transaktionen beräknad av Bloomberg som är tillgänglig när en request for quote (RFQ) anländer. Relevanta kovariat för transaktionen implementeras också i modellerna för att öka specificiteten för varje transaktion. De nya modellerna jämförs med en linjärregression och en random forest-regression som använder samma kovariat. När målet är att träffa det bästa konkurrentpriset ger regressionsmodellerna ungefär samma resultat som expected price-modellen som definieras i denna studie. När man däremot integrerar effekten av Winner's Curse med den definierade indirekta variablen kan vår Winner's Curse-justerade modell minska effekten av Winner's Curse, vilket regressionsmetoderna inte kan. Resultaten av modellerna som ämnar vinna en förbestämd andel av transaktionerna visar att den faktiska andelen transaktioner som man vinner faller inom ett intervall på 5% kring den önskade andelen när modellen körs på testdata. Att inkludera kovariat i modellerna påverkar inte resultaten till den grad som uppskattades, men ger mindre förbättringar med avseende på vissa mättal. Sammanfattningsvis visar de nya metoderna potential som ett första steg mot att bygga algoritmisk handel för obligationer, men mer forskning behövs och bör utnyttja mer av den växande datamängden av RFQs och MIFID II-rapporterade transaktionspriser.
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Pal, Satyajit Banking &amp Finance Australian School of Business UNSW. "Profitability of butterfly trades in bond markets." Awarded by:University of New South Wales. Banking & Finance, 2007. http://handle.unsw.edu.au/1959.4/40713.

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The Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).
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Books on the topic "Bond market"

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Jefferson Institute (Washington, D.C.), ed. Bond markets in Serbia: Regulatory challenges for an efficient market. Belgrade: Narodna Banka Srbije, 2005.

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Jefferson Institute (Washington, D.C.), ed. Bond markets in Serbia: Regulatory challenges for an efficient market. Belgrade: Narodna Banka Srbije, 2005.

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Samarakoon, Lalith P. Sri Lankan corporate bond market. [S.l: s.n.], 2000.

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Douglas, Livingston G. The bond markets: A desktop reference to world debt market performance and analysis. Chicago, Ill: Probus, 1995.

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Choudhry, Moorad. An introduction to bond markets. 4th ed. Chichester, West Sussex: Wiley, 2010.

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Zipf, Robert. How the bond market works. 2nd ed. New York: New York Institute of Finance, 1996.

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New York Institute of Finance., ed. How the bond market works. New York, N.Y: New York Institute of Finance, 1988.

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Zipf, Robert. How the bond market works. 2nd ed. New York: New York Institute of Finance, 1997.

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Zipf, Robert. How the bond market works. 3rd ed. Paramus, N.J: New York Institute of Finance, 2002.

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Crescenzi, Anthony. The strategic bond investor: Strategies and tools to unlock the power of the bond market. 2nd ed. New York: McGraw-Hill, 2010.

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Book chapters on the topic "Bond market"

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Busu, Mihail. "Bond Market." In Essentials of Investment and Risk Analysis, 83–103. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-15056-2_5.

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Goufeng, Sun. "Bond Market." In Financial Reforms in Modern China, 61–131. New York: Palgrave Macmillan US, 2015. http://dx.doi.org/10.1057/9781137504449_3.

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Markmann, Holger. "Covered Bond Market." In Covered Bonds under Unconventional Monetary Policy, 5–22. Wiesbaden: Springer Fachmedien Wiesbaden, 2018. http://dx.doi.org/10.1007/978-3-658-20975-9_2.

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Advani, Reuben. "Bond Market Investing." In Financial Freedom, 117–21. Berkeley, CA: Apress, 2012. http://dx.doi.org/10.1007/978-1-4302-4540-7_16.

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Bragues, George. "The Bond Market." In Money, Markets, and Democracy, 75–118. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-56940-0_4.

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Dempsey, Michael. "Bond market risk." In Financial Risk Management and Derivative Instruments, 31–47. Milton Park, Abingdon, Oxon ; New York, NY : Routledge, 2021. | Series: Routledge advanced text in economics and finance: Routledge, 2021. http://dx.doi.org/10.4324/9781003132240-6.

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Sandor, Richard L. "Market Maker." In My Word is My Bond, 301–22. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9780470370193.ch17.

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Tourk, Khairy. "The Asian bond market." In Encyclopedia of Finance, 655–63. Boston, MA: Springer US, 2006. http://dx.doi.org/10.1007/978-0-387-26336-6_67.

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Tourk, Khairy, and Hui Li. "The Asian Bond Market." In Encyclopedia of Finance, 1035–55. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-91231-4_42.

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Tourk, Khairy, and Hui Li. "The Asian Bond Market." In Encyclopedia of Finance, 1–22. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-73443-5_42-1.

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Conference papers on the topic "Bond market"

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Wang, Peiwan, Lu Zong, and Yurun Yang. "Predicting Chinese Bond Market Turbulences." In BDE 2020: 2020 2nd International Conference on Big Data Engineering. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3404512.3404521.

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Xu, Chengyao, Wenhe Yu, Xiqian Wang, and Siqi Hu. "Chinese & American Bond Market." In 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022). Paris, France: Atlantis Press, 2022. http://dx.doi.org/10.2991/assehr.k.220401.108.

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Zhang, Guangbin, and Chun Cheng. "The Association Research about China's Bond Market and Stock Market." In 2011 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2011. http://dx.doi.org/10.1109/iciii.2011.294.

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Labudović Stanković, Jasmina. "FINANSIRANjE PREDUZEĆA EMISIJOM KORPORATIVNIH OBVEZNICA." In XVII majsko savetovanje. Pravni fakultet Univerziteta u Kragujvcu, 2021. http://dx.doi.org/10.46793/uvp21.225ls.

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The corporate bond market contributes to the development of the financial market, its infrastructure, and affects economic growth. In developed countries, corporate bond issuance is a very common way of borrowing by the corporate sector. In developing countries, this method of borrowing is used "shyly" because companies most often turn to banks for help. In addition, the inflow of FDI in these countries contributes to meeting the financial needs of the corporate sector, thus reducing the need for bond issues. The paper compares borrowing by issuing corporate bonds and bank loans, explains the forms of issue of these securities, rating bonds, the secondary market of corporate bonds and briefly presents the picture of the corporate bonds market of Republic of Serbia.
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Stojanović, Dragica. "GREEN BONDS AS AN INSTRUMENT FOR FINANCING RENEWABLE ENERGY PROJECTS." In 4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eman.2020.111.

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The paper analyses green bonds as sources of financing renewable energy projects. Green bonds are a relatively new form of financing and thanks to increased investors’ climate awareness, the market has seen an enormous growth in the last few years. Therefore, the guidelines and standards adopted in financial markets clearly indicate what should be considered a green investment and are a key to further development of the market and achieving the goals of green financing. The goal of the theoretical approach to green bond market in the paper is to identify the key barriers that prevent many countries from taking advantage of this new but growing source of financing renewable energy. The lack of appropriate institutional arrangements for managing green bonds, issuing a minimum volume and high transaction costs are the key obstacles to the development of green bond market. The overall conclusion of the paper is that with just the right measures, many countries could make full use of green bonds to finance climate change adaptation and mitigation projects and thus increase renewable energy capacities.
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Zhou, Yaning. "Development of Green Bond Market in China." In Proceedings of the 2019 5th International Conference on Humanities and Social Science Research (ICHSSR 2019). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/ichssr-19.2019.85.

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"GREEN BOND MARKET: PROSPECTIVE DEVELOPMENT IN RUSSIA." In Russian science: actual researches and developments. Samara State University of Economics, 2020. http://dx.doi.org/10.46554/russian.science-2020.03-2-204/207.

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Trubetskaya, Olga Veniaminovna, and Victoria Igorevna Fomicheva. "ANALYSIS OF THE RUSSIAN GOVERNMENT BOND MARKET." In РОССИЙСКАЯ НАУКА: АКТУАЛЬНЫЕ ИССЛЕДОВАНИЯ И РАЗРАБОТКИ. Самара: Самарский государственный экономический университет, 2021. http://dx.doi.org/10.46554/russian.science-2021.09-2-191/195.

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Xianping, Hou, Huang Dengshi, Xu Kai, and Zhang Hu. "Research on contagion effect among China's bond market and stock market." In 2013 6th International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2013. http://dx.doi.org/10.1109/iciii.2013.6703237.

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Fan, Long-Zhen, and Wan-Jun Li. "The Factors that Affect Market Interest Rates in Chinese Bond Market." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2267.

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Reports on the topic "Bond market"

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Kim, Cheonkoo, Donghyun Park, Jungsoo Park, and Shu Tian. Local Currency Bond Market Development and Currency Stability amid Market Turmoil. Asian Development Bank, July 2023. http://dx.doi.org/10.22617/wps230228-2.

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This study examines the association between local currency (LCY) bond market development and currency stability. Using data from global economies, this study finds that in economies with more developed LCY bond markets, exchange rate volatility is lower during market turmoil. Currency volatility is lowered in bond markets with a greater share of LCY bonds and long-term bonds, even during normal times. The findings suggest that LCY bond market development contributes to financial stability especially during stress times.
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Fernandez, Jose Maria, and Reinaldo Le Grazie. Secondary Government Bond Market. Inter-American Development Bank, October 2006. http://dx.doi.org/10.18235/0009209.

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In light of the challenges to structure and develop bond markets amid changing environments, the Inter-American Development Bank set a project that aims to diagnose the current conditions for secondary government bonds market trading among LAC Debt Group members which can further substantiate initiatives to foment these markets according to regional characteristics. Ultimately, the main goal of this project is to strengthen the institutions of public debt management and provide them with insightful resources to develop bond markets.In this report we will find the general guidelines for public debt management, some important aspects of market structure, interrelated factors that affect market liquidity in general, institutional framework that can support efficient markets and the necessity for transparency and communication. Also the countries structure adherence for these guidelines. Later in the note, some international successful experiences are presented as well as conclusions and some few practical ideas fro improving the development of secondary bond markets.
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Amstad, Marlene, and Zhiguo He. Chinese Bond Market and Interbank Market. Cambridge, MA: National Bureau of Economic Research, February 2019. http://dx.doi.org/10.3386/w25549.

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Costantini, Riccardo, Raffaella Giacomini, and Carlo Altavilla. Bond returns and market expectations. Institute for Fiscal Studies, May 2013. http://dx.doi.org/10.1920/wp.cem.2013.2013.

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Puongsopol, Kosintr, Shu Tian, and Satoru Yamadera. Developing the Sustainable Bond Market in ASEAN+3: Challenges and Opportunities. Asian Development Bank, November 2022. http://dx.doi.org/10.22617/brf220537.

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This brief highlights the potential for developing sustainable bond markets in the ASEAN+3 region and suggests ways forward. It notes that renewable energy and energy efficiency are seen as promising sectors for the development of green bonds. It suggests how policymakers and development partners can help expand the issuer base and increase local demand for sustainable bonds, increase project bankability, and create an enabling ecosystem.
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Jovanovic, Boyan, and Peter Rousseau. Liquidity Effects in the Bond Market. Cambridge, MA: National Bureau of Economic Research, November 2001. http://dx.doi.org/10.3386/w8597.

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Ding, Yi, Wei Xiong, and Jinfan Zhang. Overpricing in China’s Corporate Bond Market. Cambridge, MA: National Bureau of Economic Research, March 2020. http://dx.doi.org/10.3386/w26815.

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Bocola, Luigi, Alessandro Dovis, Kasper Jørgensen, and Rishabh Kirpalani. Bond Market Views of the Fed. Cambridge, MA: National Bureau of Economic Research, June 2024. http://dx.doi.org/10.3386/w32620.

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Cunha, Daniel, Giovana Craveiro, and Marina Rossi. The Impact of the Creation of a Sovereign ESG Reference Yield Curve on Corporate ESG Bonds Issuances from Latin American and Caribbean. Inter-American Development Bank, March 2024. http://dx.doi.org/10.18235/0012859.

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This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform covering the issuance of 430 corporate and sovereign Environmental, Social, and Governance (ESG) bonds in Latin America and the Caribbean (LAC) that are outstanding in international markets. The goal was to investigate how the creation of a sovereign ESG reference yield curve can boost the private ESG bond market. Using a difference-in-differences (DID) approach, we empirically estimate that the creation of a sovereign ESG reference curve roughly leads to a 60 percent increase in the volume of corporate bond issuances and a 25 percent increase in the number of ESG corporate bond issuances in the external markets after three years. On the mechanisms, we argue that the sovereign ESG reference yield curve works as a benchmark for private sector ESG bond issuers by providing a standard against which the performance of ESG bonds can be measured.
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Yahya, Muhammad, Tianqi Luo, Gazi Salah Uddin, Donghyun Park, Shu Tian, and Ranadeva Jayasekera. Asymmetric Spillovers in ASEAN Bond Markets. Asian Development Bank, October 2023. http://dx.doi.org/10.22617/wps230389-2.

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This study aims to estimate and evaluate the intensity and directionality of bond market connectedness between Association of Southeast Asian Nations (ASEAN) and major regional and global markets and to identify factors impacting the interconnectedness dynamics among these markets. It derives an uncertainty connectedness measure grounded on the attributes of static and dynamic dependence frameworks and empirically evaluates its role in transmitting or receiving shocks based on various information spillover and contagion channels. The findings of this study have important implications for market participants, regulators, and policymakers.
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