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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Main Author:	Yazid, Muhammad Zaidy
Format:	Student Project
Language:	English
Published:	Faculty of Business and Management 2010
Subjects:	Macroeconomics Bonds Government securities. Industrial securities. Venture capital
Online Access:	http://ir.uitm.edu.my/id/eprint/25701/ http://ir.uitm.edu.my/id/eprint/25701/1/PPb_MUHAMMAD%20ZAIDY%20YAZID%20BM%20M%2010_5.pdf

id	uitm-25701
recordtype	eprints
spelling	uitm-257012019-12-27T05:37:22Z http://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 http://ir.uitm.edu.my/id/eprint/25701/1/PPb_MUHAMMAD%20ZAIDY%20YAZID%20BM%20M%2010_5.pdf Yazid, Muhammad Zaidy (2010) A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid. [Student Project] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Macroeconomics Bonds Government securities. Industrial securities. Venture capital
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
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
author	Yazid, Muhammad Zaidy
author_facet	Yazid, Muhammad Zaidy
author_sort	Yazid, Muhammad Zaidy
title	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_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_sort	study on the macroeconomics variables that effect bond yields in malaysian bond market / muhammad zaidy yazid
publisher	Faculty of Business and Management
publishDate	2010
url	http://ir.uitm.edu.my/id/eprint/25701/ http://ir.uitm.edu.my/id/eprint/25701/1/PPb_MUHAMMAD%20ZAIDY%20YAZID%20BM%20M%2010_5.pdf
first_indexed	2023-09-18T23:15:17Z
last_indexed	2023-09-18T23:15:17Z
_version_	1777419071220875264

A study on the macroeconomics variables that effect bond yields in Malaysian bond market / Muhammad Zaidy Yazid

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