The predictability of excess returns in the emerging bond markets
This study examines the relationships that exist between excess bond returns and global and country-specific factors, focusing on a sample of 12 developing countries. Our results show a significantly negative autocorrelation with regard to the excess returns of bonds in the emerging markets; with growth in the size of the local bond market, there is a corresponding increase in the excess bond returns. For most of the developing economies, with an increase in emerging market bond returns, there are discernible reductions in the level of domestic interest rate and increases in the volatility of bond returns. A higher sovereign bond spread predicts higher excess returns for emerging market bonds. Overall, we find that world factors have relatively less predictive power in the emerging market bonds.
Volume (Year): 22 (2012)
Issue (Month): 17 (September)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:17:p:1429-1451. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.