IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/2007_10aef.pdf
Download Restriction: no

Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2007_10.

as
in new window

Length: 45 pages
Date of creation: 17 Jul 2007
Date of revision:
Handle: RePEc:dkn:acctwp:aef_2007_10
Contact details of provider: Postal:
221 Burwood Highway, Burwood 3125

Phone: 61 3 9244 3815
Fax: +61 3 5227 2655
Web page: http://www.deakin.edu.au/buslaw/aef/index.php
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2007_10. 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: (Dr Xueli Tang)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.