Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds

43 Pages Posted: 24 Aug 2007

See all articles by Chee Jin Yap

Chee Jin Yap

Deakin University - School of Accounting, Economics and Finance

Gerard L. Gannon

Deakin University - School of Accounting, Economics and Finance

Date Written: August 23, 2007

Abstract

This paper addresses empirical analysis of Malaysian credit spreads in a number of directions. Firstly, the investigation of explanatory power of macroeconomic or market variables to the changes in the spreads. Secondly, use of daily data rather than data sampled to match typical macroeconomic data release. Third, a focused study on the market behaviour of bonds issued from a rapidly emerging market. Fourth, the inclusion of semi-parametric measures to better capture the behaviour of the credit spreads. This study finds that changes in credit spread of Malaysian bonds are only receptive to certain macroeconomic factors. Also changes in credit spreads are negatively correlated with the interest factor but this study could not find convincing evidence to support the argument of a negative relationship with the asset factor.

Keywords: credit spreads, emerging markets, Malaysia

JEL Classification: G12, G14, G15

Suggested Citation

Yap, Chee Jin and Gannon, Gerard L., Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds (August 23, 2007). 20th Australasian Finance & Banking Conference 2007 Paper, Available at SSRN: https://ssrn.com/abstract=1009535 or http://dx.doi.org/10.2139/ssrn.1009535

Chee Jin Yap

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Gerard L. Gannon (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

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