scholarly journals Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets

2021 ◽  
Author(s):  
Florian Barth ◽  
Christian Eckert ◽  
Nadine Gatzert ◽  
Hendrik Scholz
Keyword(s):  
Spillover Effects ◽  
Equity Market ◽  
Bond Market ◽  
Economic Effects ◽  
Corporate Bond ◽  
Bond Markets ◽  
Market Values ◽  
Equity Value ◽  
Value Changes ◽  
Debt Holders

AbstractThis study examines spillover effects following Volkswagen’s admission of emissions cheating. We first estimate initial operational losses of 8.45% of Volkswagen’s equity market capitalization on the date before the announcement, reputational losses up to five times these losses, and significant negative shocks to its stocks and bonds. Analyzing spillover effects from this shock beyond the usually only measured losses in equity value, we find significant negative net spillover effects to European competitors and suppliers in both stock and bond markets. Studying the economic effects in more detail, we show that Volkswagen’s total losses of 27.4 billion euros in terms of changes in equity market values over the first five event days are almost entirely composed of abnormal losses. Furthermore, competitors (suppliers) overall suffered 18.3 (12.6) billion euros of abnormal losses during this time, with 60% (69%) of the firms exhibiting negative changes, especially European competitors and suppliers connected to Volkswagen. These figures are further increased by negative bond market value changes. Overall, our results strongly emphasize that neglecting debt holders losses can lead to an underestimation of such events.

Residual Equity Momentum Spillover in Global Corporate Bond Markets

2019 ◽  
Keyword(s):  
Return Predictability ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Corporate Bond Market ◽  
Pricing Factors ◽  
Bond Return ◽  
Abnormal Pattern ◽  
Additional Support ◽  
Investment Grade

This article presents an improved equity momentum measure for corporate bonds, using the euro-denominated global investment-grade corporate bond market from 2000 to 2016. The author documents economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely used total equity return, momentum as measured by the residual (idiosyncratic) equity return appears to further enhance risk-adjusted performance of corporate bond investors. Additional support for this conjecture is obtained from tests for various asset pricing factors and transaction costs, as exposure to these risk factors cannot explain this abnormal pattern in returns.

scholarly journals BOND MARKET EFFICIENCY AND VOLATILITY: EVIDENCE FROM RUSSIA

2019 ◽  
Vol 7 (4) ◽  
pp. 1389-1397
Author(s):  
Shadi Omran ◽  
Elena Semnkova
Keyword(s):  
Market Efficiency ◽  
Unit Root Test ◽  
Weak Form ◽  
Bond Market ◽  
Corporate Bond ◽  
Good Representation ◽  
Bond Markets ◽  
Government Bond ◽  
Time Model ◽  
Bond Index

Purpose of the study: In this paper, we use daily return for the Moscow Exchange Government Bond index (RGBITR) and Moscow Exchange Corporate Bond index (MICEXCBITR) over the period 2013 to 2018. Methodology: Normality test, unit root test (ADF) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model will be used in this paper. Results: The empirical results reveal that both government and corporate bond markets in Russia are not weak-form efficient. Furthermore, the volatility is persistent in both bond indices and resembles the same movement in returns. We find also that the GARCH (1,1) model is a good representation of the behavior of daily bond index returns in corporate and government bond markets in Russia. Applications of this study: This research can be used for the universities, teachers, and students. Novelty/Originality of this study: In this paper, for the first-time model of bond market efficiency and volatility has been studied.

scholarly journals REGULATION OF THE ISSUE AND CIRCULATION OF CORPORATE BONDS IN EASTERN EUROPE

2021 ◽  
Author(s):  
Dariia Vasylieva ◽  
Keyword(s):  
Eastern Europe ◽  
Information Disclosure ◽  
Corporate Bonds ◽  
Regulatory Reform ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Bond Issue ◽  
Corporate Bond Market ◽  
Policy Initiatives

The formation and development of the corporate bond market is influenced by global regulatory reform and other government policy initiatives that affect all financial markets. Political, legislative, regulatory and fiscal changes must be well adapted to support the viability of corporate bond markets (both domestic and international). Financial market policy in general should not slow down bond markets, but should ensure optimal interaction between investors and issuers. Historical examples show how regulation, legislation, and other aspects of public policy can stimulate or slow down corporate bond markets. Currently, access to bond markets is limited for most companies due to the high cost of issuance, but the corporate bond market continues to expand. Regulation of the corporate bond market is a key factor that determines the possibility of attracting financial resources through this debt instrument from domestic and foreign investors. In this respect, it is important to pay attention not only to the issue of specific new regulatory and policy initiatives, but also to a careful review of the overall legal and regulatory framework. The purpose of the article is to systematize and analyze the legal framework for the issuance and circulation of corporate bonds in Eastern Europe. The article lists the main transactions in corporate bonds during their life cycle. The difference between the concepts of "corporate bond issue" and "corporate bond circulation" is substantiated. An analysis of the specifics of corporate bond regulation on the example of Ukraine, Bulgaria, Poland, Romania, Slovakia, Slovenia, Hungary and Croatia is carried out. The list of the basic laws of the countries of Eastern Europe regulating issue and circulation of corporate bonds is given. The common and distinctive features in the reporting and methods of information disclosure by corporate bond issuers in Ukraine and other Eastern European countries are analyzed. The structure of the corporate bond issue prospectus is determined. The main innovations in the Ukrainian legislation on the regulation of the issue and circulation of corporate bonds are analyzed.

Indian Corporate Bond Market: An Analysis of Growth and Impact of Macroeconomic Determinants

2019 ◽  
Vol 23 (3) ◽  
pp. 244-254
Author(s):  
Pooja Neemey ◽  
Namita Sahay
Keyword(s):  
Secondary Data ◽  
Bond Market ◽  
Corporate Bond ◽  
System Stability ◽  
Bond Markets ◽  
Economic Variables ◽  
Market Growth ◽  
Corporate Bond Market ◽  
Dependent Variables ◽  
Macroeconomic Determinants

Robust, deep and vibrant corporate bond markets are necessary to increase financial system stability of a nation, help the needs of credit and mitigate financial crises of corporate sector that is important for the economic growth. The present article focuses on Indian corporate bond market growth and its impact on some select monetary, fiscal and economic variables as this creates advantages for investors, corporates and governments from 2006–2007 to 2016–2017. The study used the secondary data collection method with the help of monetary, fiscal and economic variables as independent variables and yield rate as dependent variables. From the analysis, it was identified that a complete corporate bond market is associated with economic, monetary and fiscal variables neither negatively nor positively nor at a significant rate. The result of the analysis concludes that among all the selected variables, GDP in percentage is considered as the chief variable that is predominantly mandatory for India because it is commencing its bond market with the foreign participants.

scholarly journals An Analysis of Bond Market Liquidity and Real Sector Output in Selected African Economies

2020 ◽  
Vol 23 (4) ◽  
pp. 166-181
Author(s):  
Patrick O. Eke ◽  
Kehinde A Adetiloye ◽  
Esther O Adegbite
Keyword(s):  
Institutional Quality ◽  
Financial Education ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Real Sector ◽  
Market Information ◽  
Industrial Output ◽  
Long Run ◽  
Bond Issues

There is increasing traction in the literature on the activities of the secondary securities’ market especially with bonds on financial development, with little known on its functional linkage to real sector growth. Following popular theories on bond financing, this study sought to fill this gap by examining if functional tie exists between the secondary bond markets and real sector output among fourteen African countries with functional bond markets and complete data. Among the variables adapted for use are real gross domestic product per capital, corporate bond issues, industrial output, corporate bond turnover, financial education, electricity consumption and institutional quality. The study tested through unit roots to augmented Toda-Yamamoto non-causality and co-integration approach to investigate both the short- and long-term relationships among the different variables. A priori, it was expected that market information would engender capital raising through bond issues and fund allocation. The study however, discovers that corporate bond turnover does not cause industrial output growth, neither does it cause corporate bond issue. An important short run result indicates that the impact of financial education is gradually being felt in the bond markets. For most of the long-run relationships, the study accepted the Null hypothesis. This implies that the investing public do not absorb the usefulness of the market information, which may explain the thinness and shallowness of African corporate bond market overtime. The liquidity signalling effects is however found to influence regulatory institutional quality in the long-run. An accelerated financial market liberalization and tax incentives for private sector provision of market infrastructure are recommended among others for improvement in the African bond markets investigated, among others.

scholarly journals Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions

Economies ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 35
Author(s):  
Linas Jurksas ◽  
Deimante Teresiene ◽  
Rasa Kanapickiene
Keyword(s):  
Regression Model ◽  
Event Study ◽  
Spillover Effects ◽  
Bond Market ◽  
Order Book ◽  
Bond Markets ◽  
Panel Regression ◽  
Sovereign Bond ◽  
Study Results ◽  
Sovereign Bond Markets

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from mid-2011 until end-2017 for sovereign bonds from the six largest euro area countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill-over effects of trades exist and vary highly across different order types, direction and size of the trade, the maturity of traded bonds, and various markets. The panel regression model showed that less liquid bonds and bonds whose issuer is closer by distance to the country of the traded bond have more substantial spillover effects and, at the same time, are also more affected by trades executed in another market. These results should be of interest to bond market participants who want to limit the exposure to the liquidity spillover risk in bond markets.

scholarly journals The Theory and Empirics of Financial Development in the East Asian Bond Markets

2014 ◽  
Vol 5 (1) ◽  
pp. 45-76
Author(s):  
Thomas Kemetmüller
Keyword(s):  
Financial Crisis ◽  
Financial Development ◽  
Global Financial Crisis ◽  
East Asian ◽  
Bond Market ◽  
Corporate Bond ◽  
Bond Markets ◽  
Government Bond ◽  
Corporate Bond Market ◽  
The Government

Abstract The Asian financial crisis marked a turning point in financial development in East Asia that brought the development of bond markets within the focus of policy-makers. This paper tracks the benefits of an advanced bond market, the current state of the East Asian corporate and government bond markets and their rapid evolution since the Asian crisis. Subsequently, a multivariate model is used to determine the endogenous economic and institutional factors that drove growth in the region’s bond markets. The following findings may be noted: (1) growth in the government bond market was driven by the monetary sterilisation efforts of East Asian central banks in order to cope with excessive liquidity, (2) the government bond market may crowd out the corporate bond market, and (3) the corporate bond market grew particularly strongly during the global financial crisis.

scholarly journals Impact of Bond Market Development on the Growth of the Nigerian Economy

2021 ◽  
Vol 21 (1) ◽  
pp. 60-75
Author(s):  
Michael O. Oke ◽  
Oluwabunmi Dada ◽  
Nelson O. Aremo
Keyword(s):  
Financial Institution ◽  
Negative Relationship ◽  
Bond Market ◽  
Corporate Bond ◽  
Market Development ◽  
Bond Markets ◽  
Government Bond ◽  
Bond Yield ◽  
Traditional Function ◽  
The Impact

Abstract Research background: The traditional function ascribed to a modern financial institution is to mobilize resources among the two units (surplus and deficit) of the economy. This can be achieved when financial institutions wake up to this responsibility and act as the pillar upon which other institutions can rely on. Purpose: This study examined the impact of bond market development on the growth of the Nigerian economy from 1986–2018. Research methodology: Data were analysed using the co-integration bounds test approach while the robustness of the estimates was also checked. Results: Government bond exhibited an insignificant positive relationship; corporate bond and value of bond traded were positive and statistically significant (prob. <0.05) while bond yield indicated a negative relationship with the growth of the Nigerian economy. Novelty: The study found that corporate bond and the value of bond traded were the major variables that increased the depth of bond market development in Nigeria. Therefore, policymakers in Nigeria should encourage the issuance of more corporate bonds to further enhance the efficiency of bond markets development.

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