The predictability of excess returns in the emerging bond markets

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105032

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105032

Title:	The predictability of excess returns in the emerging bond markets
Authors:	高櫻芬;Gau, Yin-Feng;Liao, Wen-Ju
Contributors:	管理學院財務金融學系
Keywords:	Abnormal returns;Bond market;Bond markets;Bonds;Capital flow;Correlation analysis;Developing countries;emerging market bonds;Emerging markets;foreign capital flow;Interest rates;LDCs;Markets;predictability;Stock returns;Studies;Volatility
Date:	2012-09-01
Issue Date:	2026-04-23 12:04:28 (UTC+8)
Publisher:	Taylor and Francis Ltd.;London: Routledge
Abstract:	摘要： This study examines the relationships that exist between excess bond returns and global and country-specific factors, focusing on a sample of 12 developing countries. Our results show a significantly negative autocorrelation with regard to the excess returns of bonds in the emerging markets; with growth in the size of the local bond market, there is a corresponding increase in the excess bond returns. For most of the developing economies, with an increase in emerging market bond returns, there are discernible reductions in the level of domestic interest rate and increases in the volatility of bond returns. A higher sovereign bond spread predicts higher excess returns for emerging market bonds. Overall, we find that world factors have relatively less predictive power in the emerging market bonds. 出版者： London: Routledge 出版日期： 2012-09 出處： Applied financial economics, 2012-09, Vol.22 (17), p.1429-1451 資源來源： EBSCOhost Business Source Premier 版權： Copyright Taylor & Francis Group, LLC 2012 版權： Copyright Routledge 2012 識別號： ISSN: 0960-3107 識別號： EISSN: 1466-4305 識別號： DOI: 10.1080/09603107.2012.659340
Appears in Collections:	[Department of Finance] journal & Dissertation

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