Factors Influencing Yield Spreads Of The Malaysian Bonds

Ahmad, Norliza and Muhammad, Joriah and Masron, Tajul Ariffin (2009) Factors Influencing Yield Spreads Of The Malaysian Bonds. Asian Academy of Management Journal (AAMJ), 14 (2). pp. 1-20. ISSN 1394-2603

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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 spreads. However IPI and KLCI have weak and no influence on MGS yield spreads respectively Whilst IR, CPI and IPI have significant influence on the yield spreads of CB1, CB2 and CB3, KLCI has significant influence only on the CB1 yield spread but not on CB2 and CB3 yield spreads

Item Type: Article
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions: Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal (AAM)
Depositing User: Mr Firdaus Mohamad
Date Deposited: 07 Sep 2017 08:52
Last Modified: 07 Sep 2017 08:52
URI: http://eprints.usm.my/id/eprint/36414

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