S-Space 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)
The Time-Series Behaviour of Credit Spreads on Yen Eurobonds
- Batten, Jonathan; Ellis, Craig; Hogan, Warren
- Issue Date
- 서울대학교 증권.금융연구소
- 증권금융, Vol.02, pp. 137-157
- credit spread
- 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.