publication . Article . 2009

FACTORS INFLUENCING YIELD SPREADS OF THE MALAYSIAN BONDS

Norliza Ahmad; Joriah Muhammad; Tajul Ariffin Masron;
Open Access English
  • Published: 01 Jan 2009 Journal: Asian Academy of Management Journal (issn: 1394-2603, eissn: 1985-8280, Copyright policy)
  • Publisher: Universiti Sains Malaysia
Abstract
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 2008. The findings support the expected hypotheses that CPI and IR are the major drivers that influence the changes in MGS yield...
Subjects
free text keywords: bonds yield spreads, corporate bonds, Malaysian government securities, Business, HF5001-6182
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