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
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
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
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