A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid
This study applies a conventional multifactor market model to emerging market bond index rates of return that are denominated in U.S. dollars. We take into account common global factors and country-specific factors, including macroeconomic factors, variables related to local bond market development,...
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| Format: | Student Project |
| Language: | en |
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Faculty of Business and Management
2010
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| Online Access: | https://ir.uitm.edu.my/id/eprint/25701/1/PPb_MUHAMMAD%20ZAIDY%20YAZID%20BM%20M%2010_5.pdf https://ir.uitm.edu.my/id/eprint/25701/ |
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| _version_ | 1833062317757038592 |
|---|---|
| author | Yazid, Muhammad Zaidy |
| author_facet | Yazid, Muhammad Zaidy |
| author_sort | Yazid, Muhammad Zaidy |
| building | Tun Abdul Razak Library |
| collection | Institutional Repository |
| content_provider | Universiti Teknologi Mara |
| content_source | UiTM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | This study applies a conventional multifactor market model to emerging market bond index rates of return that are denominated in U.S. dollars. We take into account common global factors and country-specific factors, including macroeconomic factors, variables related to local bond market development, as well as political and financial risks, and consider the structural break associated with the capital flows. There are many research have been conduct in order to investigate the factors that influencing yield spreads between the developed and emerging countries namely Malaysia regarding on the Bonds Market such as (Fischer 1981, Brandt and Wang 2003),(Longstaff and Schwartz, 1995; Jarrow et al, and Collin-Dufresene et al. (2002)), Jones (1998). The knowledge has been expended by Norliza Ahmad, Joriah Muhammad and TajulAriffinMasron (2009)by exploring the influence of macroeconomic variables such as the interest rate changes, expected inflation rate, imposing of tax and effects of global crisis that can put effects on liquidity on bond issuance in Malaysia bond market. Malaysian bond market is developing rapidly but not much is understood in terms of macroeconomic factors that could influence the yield spread of the Ringgit Malaysian denominated bonds. Based on a multifactor model, this paper examines the impact of four macroeconomic factors namely: Kuala Lumpur Composite Index (KLCI), Industry Production Index (IPI), Consumer Price Index (CPI) and interest rates (IR) on bond yield spread of the Malaysian Government Securities (MGS) and Corporate Bonds (CBs) for a period from January 2001 to December 2009. |
| format | Student Project |
| id | my.uitm.ir-25701 |
| institution | Universiti Teknologi Mara |
| language | en |
| publishDate | 2010 |
| publisher | Faculty of Business and Management |
| record_format | eprints |
| spelling | my.uitm.ir-257012019-12-27T05:37:22Z https://ir.uitm.edu.my/id/eprint/25701/ A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid Yazid, Muhammad Zaidy Macroeconomics Bonds Government securities. Industrial securities. Venture capital This study applies a conventional multifactor market model to emerging market bond index rates of return that are denominated in U.S. dollars. We take into account common global factors and country-specific factors, including macroeconomic factors, variables related to local bond market development, as well as political and financial risks, and consider the structural break associated with the capital flows. There are many research have been conduct in order to investigate the factors that influencing yield spreads between the developed and emerging countries namely Malaysia regarding on the Bonds Market such as (Fischer 1981, Brandt and Wang 2003),(Longstaff and Schwartz, 1995; Jarrow et al, and Collin-Dufresene et al. (2002)), Jones (1998). The knowledge has been expended by Norliza Ahmad, Joriah Muhammad and TajulAriffinMasron (2009)by exploring the influence of macroeconomic variables such as the interest rate changes, expected inflation rate, imposing of tax and effects of global crisis that can put effects on liquidity on bond issuance in Malaysia bond market. Malaysian bond market is developing rapidly but not much is understood in terms of macroeconomic factors that could influence the yield spread of the Ringgit Malaysian denominated bonds. Based on a multifactor model, this paper examines the impact of four macroeconomic factors namely: Kuala Lumpur Composite Index (KLCI), Industry Production Index (IPI), Consumer Price Index (CPI) and interest rates (IR) on bond yield spread of the Malaysian Government Securities (MGS) and Corporate Bonds (CBs) for a period from January 2001 to December 2009. Faculty of Business and Management 2010 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/25701/1/PPb_MUHAMMAD%20ZAIDY%20YAZID%20BM%20M%2010_5.pdf A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid. (2010) [Student Project] <http://terminalib.uitm.edu.my/25701.pdf> (Unpublished) |
| spellingShingle | Macroeconomics Bonds Government securities. Industrial securities. Venture capital Yazid, Muhammad Zaidy A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid |
| title | A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid |
| title_full | A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid |
| title_fullStr | A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid |
| title_full_unstemmed | A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid |
| title_short | A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid |
| title_sort | study on the macroeconomics variables that effect bond yields in malaysian bond market / muhammad zaidy yazid |
| topic | Macroeconomics Bonds Government securities. Industrial securities. Venture capital |
| url | https://ir.uitm.edu.my/id/eprint/25701/1/PPb_MUHAMMAD%20ZAIDY%20YAZID%20BM%20M%2010_5.pdf https://ir.uitm.edu.my/id/eprint/25701/ |
| url_provider | http://ir.uitm.edu.my/ |