scholarly journals Transmissão Financeira entre o Mercado Acionário e o Mercado de Títulos de Dívida

2008 ◽  
Vol 6 (1) ◽  
pp. 1
Author(s):  
Francisco Eduardo de Luna e Almeida Santos
Keyword(s):  
Stock Markets ◽  
Opportunity Cost ◽  
Cost Of Capital ◽  
Relative Size ◽  
Capital Flow ◽  
Bond Market ◽  
Bond Markets ◽  
Structural Form ◽  
The Impact

The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identification through heteroskedasticity. Both coefficients were found to be negative which is consistent with the notion that, given an opportunity cost of capital, the returns move in opposite directions in order to promote the equilibrium of the capital flow. However, only the coefficient that measures the impact of bond market over stock markets was significantly different from zero. Thus, the intensity of this relationship also depends on the relative size of the markets under study.

A Comparative Analysis of Drivers of Secondary Market Liquidity in Financial Markets for Investment Analysis

2019 ◽  
pp. 340-366
Author(s):  
Hakki Karatas ◽  
Nildag Basak Ceylan ◽  
Ayhan Kapusuzoglu
Keyword(s):  
Comparative Analysis ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Negative Impact ◽  
Bond Market ◽  
Secondary Market ◽  
Market Liquidity ◽  
Investment Analysis ◽  
Secondary Bond ◽  
The Impact

The purpose of this chapter is to examine the drivers of secondary bond market and stock market liquidity for investment analysis after global financial crisis in Turkey. The literature in Turkey mainly focuses only on the volatility of return for driving liquidity in both bond and stock markets. However, it is argued that other types of volatilities including domestic and international volatilities have also a deteriorating impact on secondary market liquidity in Turkey. In this context, it is empirically tested whether the volatility and/or uncertainty that stem from the FED and ECB policies within the last 10 years had a negative impact on liquidity both in government bond and stock markets. Moreover, the impact of non-residents in bond and stock markets on secondary market liquidity is examined by including their holdings in stock and bond market.

scholarly journals The Global Green Bond Market in the Face of the COVID-19 Pandemic

2021 ◽  
Vol 5 (1) ◽  
pp. 50-60
Author(s):  
Greta Keliuotytė-Staniulėnienė ◽  
Kamilė Daunaravičiūtė
Keyword(s):  
Negative Impact ◽  
Research Problem ◽  
Bond Market ◽  
Rapid Expansion ◽  
Bond Markets ◽  
Upward Trend ◽  
Bond Index ◽  
Academic Literature ◽  
The Face ◽  
The Impact

This paper summarizes the relevant researches in the area of the green bond market within the perspective of the performance of the global green bond market in the face of the COVID-19 pandemic. Despite the rapid expansion of the green bond market during the last decade, this market has also experienced the consequences of the COVID-19 pandemic. The researches on the effect of COVID-19 and its induced crisis on the green bond markets are still fragmentary; therefore, the main purpose of this research is to evaluate the impact of the COVID-19 pandemic on the global green bond market. To reach the purpose, the methods of literature analysis, and correlation-regression analysis are used. In the first section of the paper, the research problem is presented; in the second part the analysis of academic literature is conducted; in the third part the design of the research is described, and in the fourth part the results of the assessment of the impact of COVID-19 pandemic on the global green bond market are discussed. The results of the research revealed that the spread of the COVID-19 pandemic appeared to have a negative impact on the performance of the S&P Green Bond Index. The market reaction to deaths caused by COVID-19 infection proved to be stronger than the reaction to confirmed cases of COVID-19 infection. However, after a sufficiently significant negative shift, which was observed in the first quarter of 2020, the S&P Green Bond Index regained its upward trend, which continued for the rest of the year.

Municipal Bond Markets

2019 ◽  
Vol 11 (1) ◽  
pp. 65-84 ◽  
Author(s):  
Dario Cestau ◽  
Burton Hollifield ◽  
Dan Li ◽  
Norman Schürhoff
Keyword(s):  
Capital Market ◽  
Bond Market ◽  
Municipal Bonds ◽  
Bond Markets ◽  
Municipal Bond ◽  
Local Public Finance ◽  
Decentralized Markets ◽  
The Impact ◽  
Natural Laboratory ◽  
Financial Technology

The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory initiatives to improve transparency have made granular trade data available to researchers, rendering the municipal bond market a natural laboratory for the study of financial intermediation, asset pricing in decentralized markets, and local public finance. Trade-by-trade studies have found large trading costs, contemporaneous price dispersion, and other deviations from the law of one price. More research is required to understand optimal market design and the impact of post-crisis regulation, sustainability, and financial technology.

FOREIGN PARTICIPATION IN LOCAL CURRENCY BOND MARKETS OF EMERGING ECONOMIES

2013 ◽  
Vol 04 (03) ◽  
pp. 1350016 ◽  
Author(s):  
SHANAKA J. PEIRIS
Keyword(s):  
Data Analysis ◽  
Emerging Economies ◽  
Panel Data Analysis ◽  
Bond Market ◽  
Bond Markets ◽  
Government Bond ◽  
Bond Yields ◽  
Local Currency ◽  
The Impact

This paper estimates the impact of foreign participation in determining long-term local currency government bond yields and volatility in a group of emerging markets (EMs) from 2000 to 2009. The results of a panel data analysis of 10 EMs show that greater foreign participation in the domestic government bond market tends to significantly reduce long-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in EMs and, in fact, could even dampen volatility in some instances.

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.

scholarly journals Promoting Social Bonds for Impact Investments in Asia

2021 ◽  
Keyword(s):  
Sustainable Development ◽  
Social Impact ◽  
Social Issues ◽  
Social Bonds ◽  
Bond Market ◽  
Social Bond ◽  
Current Status ◽  
Potential Contribution ◽  
Bond Markets ◽  
The Impact

Social bond markets have grown rapidly in Asia and around the world amid the coronavirus disease (COVID-19) pandemic. Today, the global social bond market is dominated by bonds that address pandemic-related social impact areas. To better understand the potential contribution of social bonds in tackling developing Asia’s most urgent social issues, this study reviews the current status and recent trends of global and Asian social bond markets. It further analyzes social impact areas that can be addressed by social bonds in both the short and long term. The study’s findings can help align finance with the Sustainable Development Goals and maximize the impact of the social bond market for sustainable development.

scholarly journals PRICE RELATIONSHIPS BETWEEN BOND MARKETS

2019 ◽  
pp. 28-42
Author(s):  
Ivan BLAGUN
Keyword(s):  
United States ◽  
Time Series ◽  
Financial Market ◽  
The United States ◽  
Bond Market ◽  
Domestic Market ◽  
Bond Markets ◽  
The Us ◽  
The Usa ◽  
The Impact

Introduction. The strengthening of globalization processes leads to a greater integration of the domestic financial market into the global financial market, especially bond market. Ukraine is under significant influence of world economic processes. In this context the impact that has on the state of the domestic market of Ukraine our financial market, as well as the actions of American financial regulators. On the background of the formation of excessive debt structure of the global financial market, including the US market, the financial market of Ukraine in recent time, there is also the nature of the debt market which is a key financial instrument is bonds, i.e. government bonds. Not less important and of the dual influence of the two basic segments of the financial market between market shares and bonds that affects the efficiencyof capital investors. The purposeis the research of the relationships that are formed between the markets of shares and bonds on the example of financial markets of the USA and Ukraine. Results. The price relationship between the bond markets of countries with different levels of development has been considered. For the basic indicators, characterizing the main parameters of the bond market the analysis of the influence of the US bond market to the domestic market, determined correlations between the rates of return on ten-year bonds. It has been established that the time series of the rate on ten-year bonds have signs of nonstationarity. Based on the identified nonstationarity time series were analyzed for cointegration. It is determined that the modeling-level rate bonds in Ukraine can be improved by applying advanced Sapsan the value of the rate of the bonds in the United States. Conclusions. The results do not indicate the manifestation of a dependence between the value of the rates of ten-year bonds in the United States and Ukraine. Also there is no dependence between the current growth rate of bonds. A more detailed analysis also showed the absence of long-term balance between the rates of these bonds. The analysis of the interaction between equity markets and bond between them showed that the existing dual influence should be viewed through the prism of external factors that can lead to very different behavior of these markets, on the one hand they are competitors, in terms of raising capital, on the other in some periods, they are characterized by complementarity.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

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