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Author: Ehab Abdel-Tawab Yamani
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Book Description
This article investigates the informational efficiency of the corporate bond market by examining whether the technical analysis of volume data can help in predicting the bond return volatility as well as the bond returns itself. To this end, the researcher uses prices and volume data obtained from TRACE for a sample of continuously traded corporate bonds from January 2007 to June 2009. To model volatility, we use a variant of GARCH model and the results show that it is an attractive representation of the daily corporate bond return and volatility. The overall conclusion from the results is that the trading volume data does not help in predicting future bond return volatility. Although such result is consistent with the informational efficiency of the corporate bond market, there is still a possibility that this study suffers from some data problems related to the liquidity issue in the corporate bond market.
Author: Ehab Abdel-Tawab Yamani
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
Get Book Here
Book Description
This article investigates the informational efficiency of the corporate bond market by examining whether the technical analysis of volume data can help in predicting the bond return volatility as well as the bond returns itself. To this end, the researcher uses prices and volume data obtained from TRACE for a sample of continuously traded corporate bonds from January 2007 to June 2009. To model volatility, we use a variant of GARCH model and the results show that it is an attractive representation of the daily corporate bond return and volatility. The overall conclusion from the results is that the trading volume data does not help in predicting future bond return volatility. Although such result is consistent with the informational efficiency of the corporate bond market, there is still a possibility that this study suffers from some data problems related to the liquidity issue in the corporate bond market.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The link between asset prices and information fundamentals as embodied in news announcement effects is an extremely, if not the most, important area amongst current research in market microstructure. The lack of adequate transaction data posts an obstacle in this research. In this thesis, based on a valuable intraday transaction-by-transaction dataset for U.S. corporate bonds, we first examine the impact of public information contained in the macro-economic news and firm-specific information contained in corporate earnings annoucements on the prices of both corporate bonds and stocks. We find that both bonds and stocks react significantly to public news and firm-specific information, and this information is quickly incorporated into both bond and stock prices. More importantly, our results show that stocks do not lead bonds in reflecting firm-specific information, contrary to the conceived intuition that the bond market is less informationally efficient compared with the stock market. Next we examine the frequency of information arrivals of corporate bonds and its impacts on price duration at the intraday level. We find that there are differences in price durations between corporate bonds and stocks, and for a given company, the persistence of the impact on adjusted price duration is normally higher for stocks than bonds. Our results also show that the parameter estimates are more stable and statistically significant for stocks than for bonds in most cases, which indicate that the ACD model characterized the stock return behavior better than the bond data.
Author: Tavy Ronen
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Book Description
Using a unique dataset including daily and hourly high yield bond transactions prices, we examine the informational efficiency of the corporate bond market relative to the market for the underlying stock. In contrast to previous research utilizing weekly or monthly dealer quotes, we find that stocks do not lead bonds in reflecting firm specific information. We further consider the impact of firm specific information on corporate bond prices by examining price behavior around earnings releases and find that this information is quickly incorporated into both bond and stock prices, even at short return horizons. Finally, we find that measures of market quality are no poorer for the bonds in our sample than for the underlying stocks. Our results suggest that the relative informativeness of high yield bond prices is driven largely by the bonds' liquidity rather than the structure of the dealer market for corporate bonds.
Author: Cindy A. Schipani
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Aurelio F. Bariviera
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial indices to scrutinise the time-varying behaviour of long-range memory, applying a shuffling technique to avoid short-term correlation. We find that the financial crisis has uneven effects on the informational efficiency of all corporate bond sectors, especially those related to financial services. However, their vulnerability is not homogeneous and some nonfinancial sectors suffer only a transitory effect.
Author: Robert Wyatt Wilbur
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 298
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Book Description
Author: Chris Downing
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
In light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the previous literature, we employ comprehensive transactions data for both classes of securities. We find that hourly stock returns lead bond returns for non-convertible junk- and BBB-rated bonds, and that stock returns lead bond returns for convertible bonds in all rating classes. Most of the non-convertible bonds that are predictable are issued by companies in financial distress, while the convertible bonds that are predictable are those with conversion options deeply in-the-money. These results indicate that the corporate bond market is less informationally efficient than the stock market, notwithstanding the recent improvements in bond market transparency and associated reductions in corporate bond transaction costs.
Author: Antje Berndt
Publisher:
ISBN:
Category :
Languages : en
Pages : 75
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Book Description
We propose an equilibrium model of over-the-counter corporate bond trading with short selling, asymmetric information and dealer inventory costs. The model predicts that higher inventory costs impose implicit short-sale constraints on informed investors and are thus associated with lower price efficiency. We construct bond-level proxies for inventory costs and provide empirical evidence in support of the model's prediction. Our findings suggest that tighter post-GFC regulation may have had unintended consequences for corporate bond market quality.
Author: Aurelio F. Bariviera
Publisher:
ISBN:
Category :
Languages : en
Pages : 4
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Book Description
This letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market.
Author: Tavy Ronen
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
This paper examines shifting liquidity in the corporate bond market and illustrates how cross market comparisons can lead to misleading inferences regarding market efficiency when liquidity and trading patterns are ignored. For example, when institutional trade dominance and other bond trading features are accounted for, stock leads evidenced in earlier studies are surprisingly reversed. Moreover, bond prices often fully adjust to news before equity market open. Informational advantages are most pronounced during low equity market liquidity and price discovery periods. Finally, dynamic liquidity patterns give rise to lsquo;top bonds', which are those attracting most institutional sized trades after news and are shown to play an important role in the price discovery process. These bonds shift identity over time but exhibit common ex-ante identifiable characteristics.
