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In this paper, we analyze the Chinese Government Bond (CGB) market. We find that CGB returns exhibit three common risk … risk factors exhibit strong momentum. In particular, weekly returns on medium and long maturity bond portfolios have a … serial correlation of 27.73% and 31.29%, respectively. We further show that the serial correlation in bond returns allows …
Persistent link: https://www.econbiz.de/10013142323
sum bond) market in Hong Kong has been established to promote the use of RMB in investment outside China. This market has … bond market will continue to grow because of China's efforts to internationalize its currency as a national policy …China, the second largest economy in the world after the US, has started the process to internationalize its currency …
Persistent link: https://www.econbiz.de/10013105377
This article examines whether there is a correlation between the government bond markets of Asian countries and those … of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East … Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia …
Persistent link: https://www.econbiz.de/10013060911
EMEs exploiting the opportunity. India also launched its rupee-denominated bond (masala bond) abroad in 2013, seeking to … peers, China and Brazil, to learn from their respective paths and experiences in similar regard. The paper concludes by … listing the key essentials for future growth and long-term sustainability of the masala bond market and its emergence as a …
Persistent link: https://www.econbiz.de/10011708308
The aim of the study is to investigate the behaviour of the Chinese government bond yield curve before and during the … reduction. The main empirical results show that in the pandemic period, the behaviour of the Chinese government bond yield curve …
Persistent link: https://www.econbiz.de/10014350193
Taking the first bond defaults in each province in China as credit events, we adopt a difference-in-difference model … event day, suggesting a spillover effect. The spillover effect is stronger for local state-owned-enterprise bond defaults … rates and higher general public budget revenue are less affected by the first bond defaults. Overall, our paper provides new …
Persistent link: https://www.econbiz.de/10013250335
The most liquid of bonds – often referred to as benchmarks – serve as the focus of price discovery, and in doing so, help to improve the efficiency of financial markets. In this paper, we summarise our ongoing research to see if benchmark bonds exist in emerging market economies and to...
Persistent link: https://www.econbiz.de/10012870091
We examine the effect of bond Exchange‐Traded Funds (ETFs) on corporate bond liquidity. Using Propensity Score Matching … liquidity needs, contributing to the steady growth of HY bond ETFs. Increased HY ETF institutional ownership channels trading … away from the underlying corporate bonds to the ETF shares and decreases bond aggregate liquidity, although in the cross …
Persistent link: https://www.econbiz.de/10013243529
In this paper we investigate the relationship between sovereign CDSs and Bonds, and Equity markets for 13 European countries during the period 2008-2010. We confirm the leading role incorporating new information of Equity markets during 2008-2009, but we find large evidence supporting that...
Persistent link: https://www.econbiz.de/10013111139
sovereign bonds to the news. The results show that the COVID-19 related news has a significant regime shift impact on the bond … returns when news arrives in the market. The bond returns remain in a volatile state for a longer duration with lower returns …. The results indicate that the bond returns are sensitive to the COVID–19 related news, and investors need to consider this …
Persistent link: https://www.econbiz.de/10013212531