Measuring Sovereign Bond Market Integration

2019 ◽  
Vol 33 (8) ◽  
pp. 3446-3491 ◽  
Author(s):  
Ines Chaieb ◽  
Vihang Errunza ◽  
Rajna Gibson Brandon
Keyword(s):  
Market Integration ◽  
Political Stability ◽  
Bond Market ◽  
Bond Markets ◽  
Risk Premiums ◽  
Sovereign Bond ◽  
Oxford University ◽  
Local Risk ◽  
Sovereign Bond Markets ◽  
Published Paper

Abstract We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of funding of about 1% per annum. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

2020 ◽  
Vol 23 (4) ◽  
pp. 501-524
Author(s):  
Harald Kinateder ◽  
Robert Bauer ◽  
Niklas Wagner
Keyword(s):  
Growth Rate ◽  
Bond Market ◽  
Gdp Growth ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Yield Curves ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
Gdp Growth Rate ◽  
Sovereign Bond Markets

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

Macroeconomic determinants of sovereign bond market development in African emerging economies

2019 ◽  
Vol 15 (4) ◽  
pp. 651-669 ◽  
Author(s):  
Asabea Shirley Ahwireng-Obeng ◽  
Frederick Ahwireng-Obeng
Keyword(s):  
Emerging Economies ◽  
External Debt ◽  
Theoretical Framework ◽  
Bond Market ◽  
Market Development ◽  
Bond Markets ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Sovereign Bond ◽  
Sovereign Bond Markets

Purpose Despite being a viable source of funds, African sovereign bond markets are relatively underexplored. The empirical literature fails to consider the impact of exclusively macroeconomic factors and the volatile contexts in which African markets operate. The purpose of this paper is to fill the vacuum by proposing a context-sensitive theoretical framework. The study targets, specifically, macroeconomic factors and assesses the extent to which they affect bond market development. Design/methodology/approach Using panel data on sovereign bond markets from 26 African economies, the study extends previous methodologies used in similar studies by accounting for downside risk in a generalized method of moments (GMM) framework and employing tighter robustness measures. Findings This study finds that inflation, domestic debt, external debt, GDP at PPP, fiscal balance and exports are important macroeconomic drivers of sovereign bond market development in African emerging economies. Research limitations/implications While GMM estimation is beneficial in the presence of endogeneity between the dependent variables that are instrumented with lagged independent variables, it guarantees consistency but, not unbiased estimations. Practical implications Market-oriented government funding with well-defined debt management strategies must be implemented to support the development of sovereign bond markets. External debt must be set at a sustainable level, and government should be dedicated to the confirmation of this. Furthermore, inflation rates must be kept low and stable. Social implications If policymakers are to take this study seriously, bond markets may begin to be viable sources of funds for African emerging economies. Originality/value This study introduces a methodology for measuring bond market development that considers the systemic volatility in emerging markets and proposes a theoretical framework for African emerging economies. In addition, the authors identify a new macroeconomic determinant of bond market development in the region.

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.

Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

2018 ◽  
Author(s):  
Costas Milas ◽  
Theodore Panagiotidis ◽  
Theologos Dergiades
Keyword(s):  
News Media ◽  
Bond Markets ◽  
Sovereign Bond ◽  
Sovereign Bond Markets

scholarly journals Dynamic integration and network structure of the EMU sovereign bond markets

2018 ◽  
Vol 281 (1-2) ◽  
pp. 297-314 ◽  
Author(s):  
Ahmet Sensoy ◽  
Duc Khuong Nguyen ◽  
Ahmed Rostom ◽  
Erk Hacihasanoglu
Keyword(s):  
Network Structure ◽  
Bond Markets ◽  
Sovereign Bond ◽  
Dynamic Integration ◽  
Sovereign Bond Markets

scholarly journals Volatility spillovers in EMU sovereign bond markets

2015 ◽  
Vol 39 ◽  
pp. 337-352 ◽  
Author(s):  
Fernando Fernández-Rodríguez ◽  
Marta Gómez-Puig ◽  
Simón Sosvilla-Rivero
Keyword(s):  
Bond Markets ◽  
Volatility Spillovers ◽  
Sovereign Bond ◽  
Sovereign Bond Markets

Spread the news: The impact of news on the European sovereign bond markets during the crisis

2013 ◽  
Vol 34 ◽  
pp. 83-101 ◽  
Author(s):  
Roel Beetsma ◽  
Massimo Giuliodori ◽  
Frank de Jong ◽  
Daniel Widijanto
Keyword(s):  
Bond Markets ◽  
Sovereign Bond ◽  
The Impact ◽  
Sovereign Bond Markets
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