SHERP

The Time-Series Behaviour of Credit Spreads on Yen Eurobonds

Cited 0 time in webofscience Cited 0 time in scopus
Authors
Batten, Jonathan; Ellis, Craig; Hogan, Warren
Issue Date
2003
Publisher
서울대학교 증권.금융연구소
Citation
증권금융, Vol.02, pp.137-157
Keywords
credit spread
Abstract
Straight fixed rate Yen denomitated Eurobonds represent the largest market segment after U.S. dollar denominated issues. The objective of this paper is to investigate the time series behaviour and the efficiency of the markets for credit spreads between different risk and maturity classes of Yen denominated Eurobonds. We find that the credit spreads were time-varying and the return series were inefficient though those results may have been due to differences in liquidity between the different credit classes and maturities of bonds. The mplications of these results for credit spread derivatives is examined.
Language
English
URI
http://hdl.handle.net/10371/16561
Files in This Item:
Appears in Collections:
College of Business Administration/Business School (경영대학/대학원)Institute of Finance and Banking (증권,금융연구소)The Journal of finance and banking (증권금융저널)The Journal of finance and banking (증권금융저널) vol.02 (2003)
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse