A SIMPLE LINEAR TEST OF THE INTEGRATION IN CORPORATE BOND MARKETS
DOI:
https://doi.org/10.12775/CJFA.2020.022Schlagworte
integration, yield, forecast, marketsAbstract
The purpose of this article is to identify the key elements of market determinants of bond yield and the external borrowing environment. A reasonably integrated bond market is safer for both investors as well as issuers. It assesses the robustness of integration in corporate bond yields. Research method applied in this particular study includes the overview of theoretical concepts, literature review and analysis of secondary yield data. The results revealed significant differences between the sensitivity of coupon bonds and zero coupon bonds. It demonstrated stronger relationship between bond yield, money markets and external credit markets, respectively. Modern bond portfolios can be constructed focusing on factors beyond coupon rates, duration and credit rating, respectively. The outcome or further research could focus on examining alternate anchors against secured overnight short term financing rates.Literaturhinweise
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