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1
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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Ortobelli Lozza, Sergio, Filomena Petronio, and Sebastiano Vitali. "Price and market risk reduction for bond portfolio selection in BRICS markets." Investment Management and Financial Innovations 15, no. 1 (February 20, 2018): 120–31. http://dx.doi.org/10.21511/imfi.15(1).2018.11.
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This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested two-step optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.
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Jurksas, Linas, Deimante Teresiene, and Rasa Kanapickiene. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions." Economies 9, no. 1 (March 11, 2021): 35. http://dx.doi.org/10.3390/economies9010035.
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The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from mid-2011 until end-2017 for sovereign bonds from the six largest euro area countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill-over effects of trades exist and vary highly across different order types, direction and size of the trade, the maturity of traded bonds, and various markets. The panel regression model showed that less liquid bonds and bonds whose issuer is closer by distance to the country of the traded bond have more substantial spillover effects and, at the same time, are also more affected by trades executed in another market. These results should be of interest to bond market participants who want to limit the exposure to the liquidity spillover risk in bond markets.
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Grishunin, Sergei, Alesya Bukreeva, Svetlana Suloeva, and Ekaterina Burova. "Analysis of Yields and Their Determinants in the European Corporate Green Bond Market." Risks 11, no. 1 (January 6, 2023): 14. http://dx.doi.org/10.3390/risks11010014.
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The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to conventional bonds but are specifically designed to raise money to finance environmental projects. The feature of green bonds is the existence of greenium, or the lower yield compared to “conventional” bonds of the same risk. The relevance of the paper is underpinned by the mixed evidence on the existence of ‘greenium’, especially in corporate green bond markets; there has been limited research on the topic and a narrow focus on global, US, or Chinese green bond markets. Instead, the greenium in European debt markets remains underexplored. The objective of this study is to investigate the existence of greenium and its key determinants in European corporate debt capital markets, including the local markets of the United Kingdom (UK), France, Netherlands, and Germany. The sample included 3851 corporate bonds, both green and conventional ones, between 2007 and 2021 from 33 European countries. Linear regression was applied for the analysis. The results show that the climate corporate bonds in Europe are priced at a discount to the same-risk conventional corporate bonds. The magnitude of greenium is around 3 bps. Determinants of greenium include the presence of an ESG rating and belonging to the utility and financial industry. The remaining drivers of bond yields in the European corporate debt market are the credit quality (expressed by the level of credit rating), the coupon size, the bond tenor, the market liquidity, and macroeconomic variables (growth of gross domestic product and consumer price index). For the local corporate debt markets, our results are controversial. In all markets under consideration except for the UK and the Netherlands, we did not find sustainable evidence of greenium. The results of the research lead to a better understanding of the green bond market for investors, researchers, regulators, and potential issuing companies.
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Uckun-Ozkan, Aysegul. "The impact of investor attention on green bond returns: How do market uncertainties and investment performances of clean energy and oil and gas markets affect the connectedness between investor attention and green bond?" Asian Journal of Economic Modelling 12, no. 1 (February 20, 2024): 53–75. http://dx.doi.org/10.55493/5009.v12i1.4986.
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This paper empirically investigates the spillover between investor attention and green bond returns by utilizing the connectedness approach. We will examine the impact of uncertainty in the stock, bond, and energy markets, as well as the success of clean energy, oil, and gas investments, on the relationship between green bonds and investor attention. We find that there are positive but small spillovers between investor attention and green bond returns. Besides, the connectedness between investor attention and green bond market performance is stronger in the short run than in the long run. Further, there is a time-varying feedback effect between green bond returns and investor attention. The connectedness approach also implies that the effect of investor attention on green bond returns is greatest in the COVID-19 period. This impact decreased throughout the war era. It is crucial to analyze the behaviour of green bonds in both typical and exceptional market situations. Making a general assessment may lead to insufficient information about how green bonds behave in extreme market conditions. Additionally, in instances of highly volatile market conditions, investor attention can serve as a valuable instrument for predicting the green bond market performance.
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Aman, Ameenullah, Asmadi Mohamed Naim, and Mohamad Yazid Isa. "What Determines Bond Market Development? New Theoretical Insights." SEISENSE Journal of Management 2, no. 1 (January 10, 2019): 99–106. http://dx.doi.org/10.33215/sjom.v2i1.94.
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Purpose- To diversify financing portfolio and reduce the reliance on the banking system, developing economies have realized the importance of bond market development. Bond markets facilitate economies to be more resilient towards the events of financial crises. Therefore, the share of the bond market in the financial system of the Asian economies has remarkably increased in the last decade. However, the academic literature on the bond market is very limited as compared to bank and equity markets. This was mainly because of the unavailability of vast data due to the absence of secondary markets for bonds in most of the economies. To fill this gap, this conceptual study postulates the theoretical relationships of bond market with various macroeconomic and financial factors. The study also assumes some new dimensions for bond financing and opens discussion for scholarly literature and empirical justifications.
Design/Methodology- Content analysis approach is used to review relevant literature for the possible associations of the bond market with macroeconomic and financial factors.
Practical Implications- The theoretical relationships discussed in the paper need empirical testing in future research to conclude policy implications. If the relationship between foreign capital and bond securities is established with empirical justification, we draw the policy that concerned authorities need to create a suitable environment for the attraction of foreign capital to provide support to the development of domestic debt market.
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XIONG, DEWEN, and MICHAEL KOHLMANN. "THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS." International Journal of Theoretical and Applied Finance 14, no. 05 (August 2011): 723–55. http://dx.doi.org/10.1142/s0219024911006449.
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We construct a bond-stock market composed of d stocks and many bonds with jumps driven by general marked point process as well as by an ℝn-valued Wiener process. By composing these tools we introduce the concept of a compatible bond-stock market and give a necessary and sufficient condition for this property. We study no-arbitrage properties of the composed market where a compatible bond-stock market is arbitrage-free both for the bonds market and for the stocks market. We then turn to an incomplete compatible bond-stock market and give a necessary and sufficient condition for a compatible bond-stock market to be incomplete. In this market we consider the mean-variance hedging in the special situation where both B(u, T) and eG(u, y, T)-1 are quadratic functions of T - u. So, we need to extend the notion of a variance-optimal martingale (VOM) as in Xiong and Kohlmann (2009) to the more general market. By introducing two virtual stocks [Formula: see text], we prove that the VOM for the bond-stock market is the same as the VOM for the new stock market [Formula: see text]. The mean-variance hedging problem in this incomplete bond-stock market for a contingent claim [Formula: see text] is solved by deriving an explicit solution of the optimal measure-valued strategy and the optimal cost induced by the optimal strategy of MHV for the stocks [Formula: see text] is computed.
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Cortellini, Giuseppe, and Ida Claudia Panetta. "Green Bond: A Systematic Literature Review for Future Research Agendas." Journal of Risk and Financial Management 14, no. 12 (December 7, 2021): 589. http://dx.doi.org/10.3390/jrfm14120589.
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Green bonds (or climate bonds) are one of the most used sustainable investment instruments, and under the Paris Climate Agreement of 2015, the climate bond market is expected to thrive in the near future. Green bonds are gaining increasing popularity between environmentally responsible investors, as well as investors who “simply” attempt to benefit from portfolio diversification, including green issuances, that are close to other fixed bonds. This paper aims to take advantage of previous literature contributions on the green bond market to indicate the way forward for future research. Herein, through a systematic literature review on the green bond market, our ultimate goal is to provide investors, main markets actors, and policymakers with some helpful insight on the role of environmental investments in reshaping the financial markets and fostering the sustainability of the economy.
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Eke, Patrick O., Kehinde A. Adetiloye, and Esther O. Adegbite. "An Analysis of Bond Market Liquidity and Real Sector Output in Selected African Economies." E+M Ekonomie a Management 23, no. 4 (December 1, 2020): 166–81. http://dx.doi.org/10.15240/tul/001/2020-4-011.
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There is increasing traction in the literature on the activities of the secondary securities’ market especially with bonds on financial development, with little known on its functional linkage to real sector growth. Following popular theories on bond financing, this study sought to fill this gap by examining if functional tie exists between the secondary bond markets and real sector output among fourteen African countries with functional bond markets and complete data. Among the variables adapted for use are real gross domestic product per capital, corporate bond issues, industrial output, corporate bond turnover, financial education, electricity consumption and institutional quality. The study tested through unit roots to augmented Toda-Yamamoto non-causality and co-integration approach to investigate both the short- and long-term relationships among the different variables. A priori, it was expected that market information would engender capital raising through bond issues and fund allocation. The study however, discovers that corporate bond turnover does not cause industrial output growth, neither does it cause corporate bond issue. An important short run result indicates that the impact of financial education is gradually being felt in the bond markets. For most of the long-run relationships, the study accepted the Null hypothesis. This implies that the investing public do not absorb the usefulness of the market information, which may explain the thinness and shallowness of African corporate bond market overtime. The liquidity signalling effects is however found to influence regulatory institutional quality in the long-run. An accelerated financial market liberalization and tax incentives for private sector provision of market infrastructure are recommended among others for improvement in the African bond markets investigated, among others.
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Nadaf, Allauddin Abdulisaq. "A Microstructure Study of Indian Corporate Bond Market: A Review." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 03 (March 18, 2024): 1–5. http://dx.doi.org/10.55041/ijsrem29390.
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This Review study explores various dimensions of the Indian capital market, encompassing both equity and bond markets. It delves into the influence of equity market factors, macroeconomic variables, and corporate bond market growth on the overall financial landscape. The relationship between equity market returns, equity market volatility (VIX), and the rupee-dollar exchange rate on bond yields. They highlight that increasing volatility in the equity market leads to a higher demand for fixed income securities, subsequently reducing bond returns. The underscores the significance of a robust corporate bond market for financial system stability, credit availability, and mitigating corporate sector crises. It reviews the growth of the Indian corporate bond market and its implications for monetary, fiscal, and economic variables. The results indicate that a comprehensive corporate bond market does not exhibit a significant positive or negative association with these variables. However, GDP emerges as a crucial factor for India's bond market development, particularly in terms of foreign participants. Lastly, the influence of macroeconomic variables on the Indian corporate bond market over a 23-year period. They reveal a significant correlation between corporate bond market issuance and foreign exchange reserves. Through multiple regression analysis, they found that all selected variables, except GDP and trade openness, significantly explain the volumes of corporate bonds. Collectively, their findings contribute to a comprehensive understanding of the interplay between equity market dynamics, corporate bond market growth, and macroeconomic factors in the Indian capital market. The study provides valuable insights for policymakers and investors, aiding in informed decision-making regarding investment strategies, market stability, and economic growth.
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Cestau, Dario, Burton Hollifield, Dan Li, and Norman Schürhoff. "Municipal Bond Markets." Annual Review of Financial Economics 11, no. 1 (December 26, 2019): 65–84. http://dx.doi.org/10.1146/annurev-financial-110118-123034.
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The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory initiatives to improve transparency have made granular trade data available to researchers, rendering the municipal bond market a natural laboratory for the study of financial intermediation, asset pricing in decentralized markets, and local public finance. Trade-by-trade studies have found large trading costs, contemporaneous price dispersion, and other deviations from the law of one price. More research is required to understand optimal market design and the impact of post-crisis regulation, sustainability, and financial technology.
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Tsonkova, Vanya. "SOVEREIGN SUSTAINABLE BOND MARKET – POSITIONING AND EFFECTS." ENVIRONMENT. TECHNOLOGIES. RESOURCES. Proceedings of the International Scientific and Practical Conference 1 (June 22, 2024): 388–92. http://dx.doi.org/10.17770/etr2024vol1.7945.
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The sustainable bond market emerges in 2007-2008 but significantly impacts capital markets after 2015. It can be argued that one of the reasons for its development is due to the issuances from supranational financial institutions, governments, and other public sector organizations. This article focuses on sovereign bonds issued for sustainable development, covering four main themes: green bonds, social bonds, sustainability bonds, and sustainability-linked bonds. Using methods of descriptive statistics, analysis of variance and correlation-regression analysis, the article examines the position of sovereign bonds in the sustainable bond market and the achieved outcomes in the environmental and social spheres in issuing countries. The application of the methodology reveals an increasing share of sovereign bonds in the sustainable debt segment, along with a statistically significant relationship between thematic sovereign bond issues and the overall volume of thematic debt. Positive changes in the indices measuring the sustainable development of the countries suggest a policy of increasing the relative share of government securities with a thematic focus in the overall government debt market.
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Anh Tu, Chuc, Tapan Sarker, and Ehsan Rasoulinezhad. "Factors Influencing the Green Bond Market Expansion: Evidence from a Multi-Dimensional Analysis." Journal of Risk and Financial Management 13, no. 6 (June 13, 2020): 126. http://dx.doi.org/10.3390/jrfm13060126.
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Expansion of green bond markets as an appropriate way to lower environmental pollution is one of the most debatable issues among scholars. However, the expansion of this market is not a simple matter and depends on several factors. The main purpose of this study is to carry out a multi-dimensional analysis using the analytic hierarchy process (AHP) method to find and prioritize factors influencing the development of green bond markets. As a case, we do our analysis for Vietnam that, since the last years, has been trying to expand green bond market as an effective investment channel to finance low-carbon projects. The main findings revealed that legal infrastructure, official interest rate of green bonds, and economic stability are the most important factors directly affecting green bond market expansion. Therefore, economic and legal requirements should be addressed by policy makers. As major policy implications, we recommend an affordable price of green bonds and improvement of economic and financial stability to accelerate the development of green bond markets.
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Jurkšas, Linas, Deimantė Teresienė, and Rasa Kanapickiene. "Liquidity risk: Intraday liquidity and price spillovers in euro area sovereign bond markets." Risk Governance and Control: Financial Markets and Institutions 11, no. 2 (2021): 18–31. http://dx.doi.org/10.22495/rgcv11i2p2.
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The purpose of this paper is to determine the cross-market liquidity and price spillover effects across euro area sovereign bond markets. The analysis is carried out with the constructed minute frequency order-book dataset from 2011 until 2018. This derived dataset covers the six largest euro area markets for benchmark 10-year sovereign bonds. To estimate the cross-market spillover effect between sovereign bonds, it was decided to use the empirical approach proposed by Diebold and Yilmaz (2012) and combine it with the vector error correction model (VECM). We also employed the panel regression model to identify why some bond markets had a higher spillover effect while others were smaller. The dependent variable was the daily average spillover effect of a particular bond. As the spillover effects vary highly across different bonds, country-specific fixed effects were used, and the clustered standard errors were calculated for robustness reasons. Lastly, the cross-market spillovers were analyzed daily to compare them with the results of the model with intraday data. The analysis was performed with rolling 100-day window variance decompositions and a 10-day forecast horizon for six sovereign bonds and the overnight indexed swap (OIS) market. The results of the created time-series model revealed that intraday cross-market spillovers exist but are relatively weak, especially in the case of liquidity spillovers. As the cross-market linkages became much more robust with the model using daily data, the liquidity or price disbalances between different markets are usually corrected on longer intervals than minutes. Distance between countries is the most important explanatory variable and is negatively linked to the magnitude of both liquidity and price spillovers. These findings should be of particular interest to bond market investors, risk managers, and analysts who try to scrutinize the liquidity and price transmission mechanism of sovereign bonds in their portfolios.
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Dimic, Nebojsa, Vitaly Orlov, and Janne Äijö. "Bond–Equity Yield Ratio Market Timing in Emerging Markets." Journal of Emerging Market Finance 18, no. 1 (March 28, 2019): 52–79. http://dx.doi.org/10.1177/0972652719831536.
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This article investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds and moving averages, provide higher risk-adjusted returns than benchmark buy-and-hold portfolios. However, we develop new augmented BEYR indicators by introducing the notion of US bonds as a safe investment relative to emerging market stocks and bonds. Dynamic strategies based on our augmented BEYR indicators produce significant gains in risk-adjusted returns compared with traditional BEYR and buy-and-hold benchmark strategies. JEL Classifications: G11, G12, G15
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Chordia, Tarun, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong. "Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation." Journal of Financial and Quantitative Analysis 52, no. 4 (August 2017): 1301–42. http://dx.doi.org/10.1017/s0022109017000515.
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Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds. Cross-sectional bond return predictors generally do not provide materially high Sharpe ratios after accounting for trading costs.
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Wang, Hang. "An Empirical Study on the Stock Market Reaction to Corporate Green Bond Issuance in China." Highlights in Business, Economics and Management 10 (May 9, 2023): 417–24. http://dx.doi.org/10.54097/hbem.v10i.8133.
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China has become one of the major green bond issue countries and is the only developing country. Research on green corporate bonds is currently a novel direction, and very few studies focus on the Chinese market. Researching Chinese corporate green bonds is essential for the Chinese and merging market. This article discusses corporate green bonds in the Chinese market from the perspective of stock market reaction, institutional investor positions and cost of capital. Firstly, the author analyzes the Chinese stock market reaction to the issuance of corporate green bonds by using an event-study methodology. The paper finds that Chinese stock markets respond positively to green bond issuance announcements, but this response reflects speculative trading behavior. Secondly, the author compares the stock positions of institutional investors after the issuance of corporate green bonds and finds that green corporate bond issuance in the Chinese market can attract long-term investors (institutional investors). Finally, this author adopts the exact matching method to verify the cost of capital argument and finds no significant benefit to the cost of capital, which is consistent with prior works.
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NADAF, ALLAUDDIN, and Dr.Shivappa. "CORPORATE BOND MARKET IN INDIA: A REVIEW OF FACTORS LIMITING THE DEVELOPMENT." mLAC Journal for Arts, Commerce and Sciences (m-JACS) ISSN: 2584-1920 2, no. 2 (June 10, 2024): 33–40. http://dx.doi.org/10.59415/mjacs.v2i2.149.
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The corporate bond market helps the companies raise long-term finance, which is essential external source of capital. The Indian corporate bond market is still in its early stages of development, and as a result, it lacks the depth found in more mature markets. This paper aims to understand the factors that have limited the development of the corporate bond market in India. In addition, the paper examines the requirements for corporate bond market development, where the government bond market is doing quite well. This paper is designed as a literature review previously attempted to elaborate on the current state of corporate bond markets. The research is limited to previous studies and secondary data. Based on the literature review from previous studies and recently available market statistics, the main factors that constrain the development of Indian corporate bond markets are performance metrics, corporate governance, opacity to information and credit rating mechanism, financial infrastructure, and cost associated with issuance influence the corporate bond markets. The Indian government and Reserve bank have simultaneously tried to develop the corporate bond market.
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Park, Daehyeon, Jiyeon Park, and Doojin Ryu. "Volatility Spillovers between Equity and Green Bond Markets." Sustainability 12, no. 9 (May 4, 2020): 3722. http://dx.doi.org/10.3390/su12093722.
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This study examines the market for green bonds, which have been in the spotlight as an eco-friendly investment product. We analyze the volatility dynamics and spillovers between the equity and green bond markets. As the return dynamics of financial products typically exhibit asymmetric volatility, we check whether green bonds also share this property. Our analyses confirm that although green bonds do exhibit the asymmetric volatility phenomenon, their volatility, unlike that of equity, is also sensitive to positive return shocks. An analysis of the association between the green bond and equity markets confirms that although the two markets have some volatility spillover effects, neither responds significantly to negative shocks in the other market.
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Nashikkar, Amrut, Marti G. Subrahmanyam, and Sriketan Mahanti. "Liquidity and Arbitrage in the Market for Credit Risk." Journal of Financial and Quantitative Analysis 46, no. 3 (February 15, 2011): 627–56. http://dx.doi.org/10.1017/s002210901100007x.
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AbstractThe recent credit crisis has highlighted the importance of market liquidity and its interaction with the price of credit risk. We investigate this interaction by relating the liquidity of corporate bonds to the basis between the credit default swap (CDS) spread of the issuer and the par-equivalent bond yield spread. The liquidity of a bond is measured using a recently developed measure called latent liquidity, which is defined as the weighted average turnover of funds holding the bond, where the weights are their fractional holdings of the bond. We find that bonds with higher latent liquidity are more expensive relative to their CDS contracts after controlling for other realized measures of liquidity. Analysis of interaction effects shows that highly illiquid bonds of firms with a greater degree of uncertainty are also expensive, consistent with limits to arbitrage between CDS and bond markets, due to the higher costs of “shorting” illiquid bonds. Additionally, we document the positive effects of liquidity in the CDS market on the CDS-bond basis. We also find that several firm- and bond-level variables related to credit risk affect the basis, indicating that the CDS spread does not fully capture the credit risk of the bond.
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Cerutti, Eugenio, and Maurice Obstfeld. "China's Bond Market and Global Financial Markets." IMF Working Papers 18, no. 253 (2018): 1. http://dx.doi.org/10.5089/9781484377475.001.
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Zhang, Yan. "The Impact of Liquidity Risk on Corporate Bond Pricing in China." Advances in Economics, Management and Political Sciences 79, no. 1 (April 26, 2024): 88–92. http://dx.doi.org/10.54254/2754-1169/79/20241779.
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This paper investigates the impact of liquidity risk on bond pricing in the bond market after the end of COVID-19. The paper hypothesizes a significant impact of liquidity risk on bond pricing in the bond market and introduces several variables such as liquidity ratio, coupon rate, issuance cycle, return on equity (ROE), and issuance volume for testing. The paper analyses and compares the impact of liquidity risk on corporate bond pricing through least squares (OLS) regression analysis (data from the iFinD database). The study shows that the liquidity risk of bonds has a significant impact on the market interest rate of corporate bonds, which directly proves that the impact of liquidity risk on corporate bond pricing in the bond market is highly significant. This paper reveals that liquidity risk is crucial to bond pricing in the bond market that liquidity risk is a key factor in determining the degree of stability of bond prices, and that illiquidity leads to increased uncertainty in bond pricing and market volatility. Investors need to have a more comprehensive perspective to rationally price bonds under the disturbance of liquidity risk and pay attention to the impact of liquidity risk on the bond market.
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Antony, Jesmine Mary, and Sundaram Natarajan. "Neural network and machine learning use cases: Indian bond market predictions." Economics and Finance Letters 11, no. 1 (March 4, 2024): 57–79. http://dx.doi.org/10.18488/29.v11i1.3667.
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This study examines machine learning techniques to investigate how artificial intelligence (AI) affects predicting future trends in the bond market. The bond market offers a global perspective on capital costs for a business by establishing the fair value of the bond issue, which is based on multiple factors. The asset price market, which has employed machine learning (ML) and deep learning (DL) techniques to address the primary forecasting difficulty, surprisingly plays a significant role in predicting future bond market returns. As an outcome, if this gap can be forecast, it can act as the bond market's data-driven long-term direction and yield additional profits. Daily security-specific data for the 10-to-3-year Indian Treasury Bond (ITB) was gathered from 2013 to 2022 and is available in the global government bonds database. The researchers looked at how well the auto-regressive integrated moving average (ARIMA), linear regression, and deep recurrent neural network-long short-term memory (DLSTM) models could predict bond yields and returns in future bond markets. The empirical results demonstrate that the DLSTM models most fairly predict the price of government bonds over both the short and longer horizons when compared to ARIMA and linear regression.
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SHCHERBAKOVA, Olena. "THE ROLE OF GREEN BONDS IN FINANCING SUSTAINABLE DEVELOPMENT." Economy of Ukraine 2023, no. 12 (December 18, 2023): 3–22. http://dx.doi.org/10.15407/economyukr.2023.12.003.
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The active development of green bond markets is related to the fulfillment of climate transition tasks in accordance with the UN Sustainable Development Goals in terms of achieving climate neutrality. The green bond market can provide Ukraine with access to global financial resources for the purposes of post-war recovery and structural transformation of the national economy at a qualitatively new technological level based on the principles of sustainable development. Author generalises that scientific research on green bond markets are focused on the issues of assessing their impact on sustainable development, standardization of green bonds, assessment of the premium for the risk of such bonds, the impact of green bond issuance on the development of stock markets, specifying the prerequisites for the effective development of green bond markets. The types of green bonds are systematized by the type of collateral against the issuer's assets. The recommendations of international organizations on the development of channels for attracting private capital to finance sustainable development projects are summarized. Problem of green bonds standardization in accordance with international principles is emphasized, namely: the purpose of bonds, transparency of the issuer's reporting, the presence of mechanisms for managing the funds involved, evaluation of project results. Author suggests that implementation of such standards facilitates the inflow of investors' funds into targeted projects for sustainable development and allows to control this process. She defines the most problematic areas in the development of the green bond market in Ukraine, which are their standardization, the introduction of financial and non-financial reporting standards related to the disclosure of climate information, the implementation of incentives for green bond issuers and investors, the development of the stock market infrastructure and the diversification of financial instruments, securing the rights of investors, popularization of sustainable recovery ideas in society.
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Vincent, Hima. "A Study on Impact of Liquidity on Returns of Four Government Bonds in the Context of Indian Bond Market." Asian Review of Social Sciences 8, S1 (February 5, 2019): 71–74. http://dx.doi.org/10.51983/arss-2019.8.s1.1490.
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A well-developed capital market consists of equity and bond market. A sound bond market with a significant role played by the Government bond market segment is considered to be important for an efficient capital market and raising for developmental ventures. Bonds are issued and sold to the public for funds. Bonds are interest bearing debt certificates. This study is conducted in order to analyze the impact of liquidity on return of government securities in the context of Indian bond market.
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Jiang, W., and V. Lapshin. "Chinese Bond Market." World Economy and International Relations, no. 2 (2014): 32–37. http://dx.doi.org/10.20542/0131-2227-2014-2-32-37.
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BAVIERA, ROBERTO. "BOND MARKET MODEL." International Journal of Theoretical and Applied Finance 09, no. 04 (June 2006): 577–96. http://dx.doi.org/10.1142/s0219024906003640.
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We describe the Bond Market Model, a multi-factor interest rate term structure model, where it is possible to price with Black-like formulas the three classes of over-the-counter plain vanilla options. We derive the prices of caps/floors, bond options and swaptions. A comparison with Libor Market Model and Swap Market Model is discussed in detail, underlining advantages and limits of the different approaches.
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Hanousek, Jan, Evžen Kočenda, and Petr Zemčík. "Bond Market Emergence." Journal of Emerging Market Finance 7, no. 2 (August 2008): 141–68. http://dx.doi.org/10.1177/097265270800700202.
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Goyenko, Ruslan Y., and Andrey D. Ukhov. "Stock and Bond Market Liquidity: A Long-Run Empirical Analysis." Journal of Financial and Quantitative Analysis 44, no. 1 (February 2009): 189–212. http://dx.doi.org/10.1017/s0022109009090097.
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AbstractThis paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquidity acts as a channel through which monetary policy shocks are transferred into the stock market. These effects are observed across illiquidity of bonds of different maturities and are especially pronounced for illiquidity of short-term maturities. The paper provides evidence of illiquidity integration between stock and bond markets.
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Thi Thu Huong, Tran. "Green Bond Market Development-Case of Vietnam." International Journal of Science and Research (IJSR) 12, no. 4 (April 5, 2023): 1206–10. http://dx.doi.org/10.21275/sr23419071430.
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Raja, Zubair Ali, William J. Procasky, and Renee Oyotode-Adebile. "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk." Journal of Emerging Market Finance 19, no. 3 (July 17, 2020): 296–325. http://dx.doi.org/10.1177/0972652720932772.
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Extant literature reports mixed findings on the relative efficiency of credit default swaps (CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more comprehensive data set than analyzed earlier, we reexamine this issue and find that CDS dominate bonds in the price discovery of this risk, an advantage we attribute to the greater relative liquidity of that market. One exception is during the financial crisis, suggesting that when panic hits, sovereign markets price credit risk differently. However, even then, the CDS market has a greater impact on price discovery than the bond market, indicating greater overall efficiency. JEL Classification: G11, G12, G13, G14, G23
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Kim, Hak-Kyum, and Hee-Joon Ahn. "Is There an Issuance Premium for SRI Bonds?: Evidence from the Periods Before and After the COVID-19 Outbreak." Korean Journal of Financial Studies 50, no. 4 (August 31, 2021): 369–409. http://dx.doi.org/10.26845/kjfs.2021.08.50.4.369.
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This study empirically examines whether there are any issuance premia for Socially Responsible Investment (SRI) bonds, using the data from the South Korean bond market from May 2018 to December 2020. We classify SRI bonds into three types: green, social, and sustainability. We divide the sample period into pre-COVID-19 and post-COVID-19 to understand how the pandemic has impacted the pricing of SRI bonds. We employ two empirical approaches: a matching sample analysis and a regression analysis that controls various bond and market characteristics. We find the following. First, significant issuance premia of at least 8bp existed for our sample of social bonds. However, we do not find any evidence of an issuance premium from the other two types of bonds. The premia on social bonds decreased significantly after the outbreak of COVID-19. As most studies have focused on green bonds, the literature on SRI bonds has largely been silent about social bonds and sustainability bonds. By focusing on these two less researched SRI bond types in addition to green bonds, we help expand our knowledge on SRI bond markets. Moreover, to the best of our knowledge, this is the first study to examine the SRI bond market in South Korea.
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Sial, Muhammad Safdar, Jacob Cherian, Abdelrhman Meero, Asma Salman, Abdul Aziz Abdul Rahman, Sarminah Samad, and Constantin Viorel Negrut. "Determining Financial Uncertainty through the Dynamics of Sukuk Bonds and Prices in Emerging Market Indices." Risks 10, no. 3 (March 8, 2022): 61. http://dx.doi.org/10.3390/risks10030061.
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The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings show that evidence of co-moment exists between the global emerging market index and Sukuk bond price returns, except the one. There is no impact of the financial uncertainty indicator reflected by the global volatility index (VIX) on the Sukuk index returns, and even this impact is negative for (VXEEM). The causal impact among the global emerging and Sukuk bond markets will help formulate future trading strategies in particular to Islamic bond markets.
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Chen, Hong-Yi, and Hsiao-Yin Chen. "Inconsistent Bond Pricing in a Rational Market." Review of Pacific Basin Financial Markets and Policies 19, no. 03 (September 2016): 1650017. http://dx.doi.org/10.1142/s021909151650017x.
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This study proposes two rational models to reconcile the enigma regarding the inconsistent bond pricing that results among bonds with the same ratings. First, we apply a nonlinear utility function to the expected utility theory and observe different expected utilities for senior bonds and subordinated bonds with the same bond rating. Second, we implement the cumulative prospect theory to demonstrate that the inconsistency occurs when the effect on the convexity of the value function dominates the effect on the overweightness of the weighting function. The two models demonstrate that rather than using the notching policy to explain bond pricing, the inconsistent bond pricing can exist under rational market conditions.
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Wu, Ding, Zhenqing Luo, Tidong Zhang, Lu Tang, Mahmood Ahmad, and Xiaoyun Fang. "The Linkage between Carbon Market and Green Bond Market: Evidence from Quantile Regression Based on Wavelet Analysis." Sustainability 15, no. 13 (July 5, 2023): 10634. http://dx.doi.org/10.3390/su151310634.
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The carbon market and the green bond market are important institutions for reducing greenhouse gas emissions and achieving economic low-carbon transformation. Accurately understanding the characteristics and correlations of the two markets is of great significance for promoting the achievement of the “dual carbon” goal. From the perspective of different time scales and market conditions, this study selected the maximal overlap discrete wavelet transform (MODWT) to decompose the price time series data of China’s carbon market and green bond market. The quantile Granger causality test was used to calculate the causal relationship between the two markets at different quantiles, and the association between the two markets was estimated based on quantile-to-quantile regression (QQR). The results show that, regardless of the time scale and market conditions, the Chinese carbon market is always the Granger cause of the green bond market. When the green bond market is in a slump state (i.e., in a “bear” market), it will have a certain negative impact on the carbon market in the short term, but in the medium and long term, the impact of the green bond market on the carbon market is positive. In addition, as the time scale increases, the synergistic effect between the green bond market and the carbon market becomes more and more significant. At medium- to long-term time scales, extreme market conditions can easily cause extreme shocks from the green bond market to the carbon market.
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Wanyama, Dr David W. "EFFECT OF STOCK MARKET CONCENTRATION ON THE GROWTH OF CORPORATE BOND MARKET IN KENYA." International Journal of Finance 2, no. 2 (February 5, 2017): 63. http://dx.doi.org/10.47941/ijf.56.
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Purpose: The purpose of this study was to analyze how stock market concentration influences the growth of corporate bond market in Kenya.Methodology: The study used descriptive and causal research designs. Secondary data was used. The sample of the study consisted of daily and monthly time series covering six years beginning January 2009 to December 2014. Unit root tests using Augmented Dickey-Fuller (ADF) and Phillips-Perron tests were done. The study used Eviews econometric software to facilitate empirical analysis of data.Results: Regression of coefficients results shows that stock market concentration and corporate bonds are positively and significant related (r=0.014, p=0.017).Unique Contribution to Theory, Practice and Policy: The study recommends that concerted efforts should be made to improve market concentration in the corporate bonds market so that it can operate optimally. The existing concentration affected the stock and corporate bond markets positively. However, policy makers should be careful not to allow a higher stock market concentration as this will adversely affect the financial markets (El-Wassal, 2013).
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Liu, Kerry. "Foreign Investments in the Chinese Bond Markets." Management and Economics Research Journal 6 (2020): 1. http://dx.doi.org/10.18639/merj.2020.9900005.
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The Chinese bond market is the second largest in the world. However, studies on Chinese bond markets are very few, and especially there are no studies on foreign investments in the Chinese bond markets. This study fills the gap in the academic literature by focusing on foreign investments in the Chinese bond markets. By using the least-squares model with breaks, this study finds that although, in theory, the factors of exchange rate, yield spread, and yield correlation should play a significant role in attracting foreign investors to invest in the Chinese bond markets, the specific effects depend on the stage of the Chinese bond markets’ open-up. Initially, the main foreign investors are central banks and similar institutions, and they primarily consider more strategic factors than pure return or risk factors. As more institutional investors have entered the Chinese bond markets, the considerations of enhancing risks and/or reducing risks become more significant. The increasing foreign investments will be beneficial to the Chinese bond markets such as more issuance of longer-dated bonds, thus helping China to establish its RMB bond yield curve, and improving the market efficiency. The Chinese authorities should launch more policy initiatives to attract foreign investors.
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Su, Chi-Wei, Xu-Yu Cai, and Ran Tao. "Can Stock Investor Sentiment Be Contagious in China?" Sustainability 12, no. 4 (February 19, 2020): 1571. http://dx.doi.org/10.3390/su12041571.
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This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, except for in the corporate bond market. In extreme situations, such as excessively optimistic or pessimistic sentiment, these markets will become more vulnerable to suffering from drastic fluctuations. On the contrary, the market return in government bonds, corporate bonds, and foreign exchange also has an influence on stock investor sentiment. Moreover, these links show various asymmetry due to the heterogeneity of different financial markets. Our results are consistent with the noise trader model, which shows the impact of investor sentiment on market returns. Hence, the authorities can sustain the stabilization of financial markets by reducing information asymmetry, guiding the rational sentiment of investors, and increasing effective regulations.
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Kang, Kenneth, Geena Kim, and Changyong Rhee. "Developing the Government Bond Market in South Korea: History, Challenges, and Implications for Asian Countries." Asian Economic Papers 4, no. 2 (June 2005): 91–113. http://dx.doi.org/10.1162/asep.2005.4.2.91.
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The government-led development of South Korea's government bond market after the Asian financial crisis provides a case study for building local bond markets in Asia. Two steps considered particularly effective at enhancing the liquidity of the market were the reopening system and the mandatory electronic exchange trading system for benchmark issues. This study uses the micro bondtrading data of the Korea Stock Exchange to determine how these efforts enhanced the government bond market. It also analyzes a long-term challenge: with the fiscal deficit projected to return to balance, the supply of outstanding government bonds is likely to decline, reducing the overall supply of benchmark issues.
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Lee, Changmin, and Hyoung-Goo Kang. "The Joint Dynamics of Stock and Bond Risk-Returns in Japan." International Studies Review 11, no. 2 (October 19, 2010): 93–100. http://dx.doi.org/10.1163/2667078x-01102005.
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We examine the joint dynamics of stocks and bonds in the Japanese marker by computing the prices of risks and their relationship in stock and bond factors. We deconstruct market factors into industry factors and incorporate bond factors such as the level. Slope, and curvature of yield curves. This paper contributes to the: literature by identifying the risk-return relationship in Japanese financial market in explaining the cross-sectional variations of stock returns in consideration of the bond market, and illustrating the importance of macro information in stock returns. Our approach and results provide practical implications to hedge fund managers, mutual fund managers, and basket traders.
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Downing, Chris, Shane Underwood, and Yuhang Xing. "The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis." Journal of Financial and Quantitative Analysis 44, no. 5 (October 2009): 1081–102. http://dx.doi.org/10.1017/s0022109009990305.
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AbstractIn light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We find that hourly stock returns lead bond returns for nonconvertible junk- and BBB-rated bonds, and that stock returns lead bond returns for convertible bonds in all rating classes. Most of the predictable nonconvertible bonds are issued by companies in financial distress, while the predictable convertible bonds are those with conversion options more deeply in-the-money. These results indicate that the corporate bond market is less informationally efficient than the stock market, notwithstanding the recent improvements in bond market transparency and associated reductions in corporate bond transaction costs.