Factors correlated with treasury bond spreads in an emerging capital market
This paper identifies macroeconomic and financial factors that are significantly correlated with Treasury bond term spreads observed over a quarter century in an emerging capital market, Malaysia. We adapted the very popular arbitrage pricing model approach widely used in share market studies and us...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Center for Promoting Ideas
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/22626/ http://psasir.upm.edu.my/id/eprint/22626/1/Factors%20correlated%20with%20treasury%20bond%20spreads%20in%20an%20emerging%20capital%20market.pdf |
| _version_ | 1848844536346836992 |
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| author | Cheng, Fan Fah Syed Mohamed, Mohamed Ariff |
| author_facet | Cheng, Fan Fah Syed Mohamed, Mohamed Ariff |
| author_sort | Cheng, Fan Fah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper identifies macroeconomic and financial factors that are significantly correlated with Treasury bond term spreads observed over a quarter century in an emerging capital market, Malaysia. We adapted the very popular arbitrage pricing model approach widely used in share market studies and used ten macroeconomic and financial factors pre-specified to study the bond pricing behavior in this market, where industry statistics suggest that this market is the fourth largest bond market in Asia. Our findings suggest that trade balance, industrial production, GDP growth rate, money supply and the amount of funds raised are correlated with the term spreads. Trade balance is very proper to be a key variable since this emerging
economy is among the top - 8 trading countries with international trade constituting over 200 percent of GDP.
These results, being a first using the arbitrage pricing model, help add to our understanding of bond pricing
dynamics in one emerging market. |
| first_indexed | 2025-11-15T08:32:29Z |
| format | Article |
| id | upm-22626 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:32:29Z |
| publishDate | 2011 |
| publisher | Center for Promoting Ideas |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-226262020-02-17T03:28:17Z http://psasir.upm.edu.my/id/eprint/22626/ Factors correlated with treasury bond spreads in an emerging capital market Cheng, Fan Fah Syed Mohamed, Mohamed Ariff This paper identifies macroeconomic and financial factors that are significantly correlated with Treasury bond term spreads observed over a quarter century in an emerging capital market, Malaysia. We adapted the very popular arbitrage pricing model approach widely used in share market studies and used ten macroeconomic and financial factors pre-specified to study the bond pricing behavior in this market, where industry statistics suggest that this market is the fourth largest bond market in Asia. Our findings suggest that trade balance, industrial production, GDP growth rate, money supply and the amount of funds raised are correlated with the term spreads. Trade balance is very proper to be a key variable since this emerging economy is among the top - 8 trading countries with international trade constituting over 200 percent of GDP. These results, being a first using the arbitrage pricing model, help add to our understanding of bond pricing dynamics in one emerging market. Center for Promoting Ideas 2011-05 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22626/1/Factors%20correlated%20with%20treasury%20bond%20spreads%20in%20an%20emerging%20capital%20market.pdf Cheng, Fan Fah and Syed Mohamed, Mohamed Ariff (2011) Factors correlated with treasury bond spreads in an emerging capital market. International Journal of Humanities and Social Science, 1 (5). pp. 154-164. ISSN 2220-8488; ESSN: 2221-0989 https://www.ijhssnet.com/journal/index/138 |
| spellingShingle | Cheng, Fan Fah Syed Mohamed, Mohamed Ariff Factors correlated with treasury bond spreads in an emerging capital market |
| title | Factors correlated with treasury bond spreads in an emerging capital market |
| title_full | Factors correlated with treasury bond spreads in an emerging capital market |
| title_fullStr | Factors correlated with treasury bond spreads in an emerging capital market |
| title_full_unstemmed | Factors correlated with treasury bond spreads in an emerging capital market |
| title_short | Factors correlated with treasury bond spreads in an emerging capital market |
| title_sort | factors correlated with treasury bond spreads in an emerging capital market |
| url | http://psasir.upm.edu.my/id/eprint/22626/ http://psasir.upm.edu.my/id/eprint/22626/ http://psasir.upm.edu.my/id/eprint/22626/1/Factors%20correlated%20with%20treasury%20bond%20spreads%20in%20an%20emerging%20capital%20market.pdf |