Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Asian Economics"
DOI: 10.1016/j.asieco.2020.101200
Abstract: Abstract This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30… read more here.
Keywords: credit; risk spillover; bond market; china credit ... See more keywords
The value of external reviews in the secondary green bond market
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102306
Abstract: Abstract In the green bond market, bond issuers can obtain various types of external reviews to validate their green claims. This paper examines the impact of external reviews in the form of verification, second party… read more here.
Keywords: bond market; external reviews; green bond; secondary green ... See more keywords
A tale of fragmentation: Corporate funding in the euro-area bond market
Sign Up to like & getrecommendations! Published in 2017 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2016.12.004
Abstract: Corporations of different euro-area countries faced noticeably different costs of funding in the bond market during the prolonged period of financial instability which started in 2007. We identify the determinants of corporate bond yield spreads… read more here.
Keywords: euro area; bond market; fragmentation; area ... See more keywords
The impact of bond market development on economic growth before and after the global financial crisis: Evidence from developed and developing countries
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101865
Abstract: Abstract This paper investigates the impact of bond market development on economic growth before and after the global financial crisis in 44 selected countries. A dynamic model based on endogenous growth theory is employed for… read more here.
Keywords: financial crisis; growth; global financial; bond market ... See more keywords
Asymmetric timely loss recognition, adverse shocks to external capital, and underinvestment: Evidence from the collapse of the junk bond market
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Accounting and Economics"
DOI: 10.1016/j.jacceco.2017.11.010
Abstract: Abstract Using the collapse of the junk bond market in the early 1990s as an exogenous shock to external capital, I document, in both difference-in-differences and triple difference designs, that speculative-grade firms that recognize economic… read more here.
Keywords: capital; external capital; bond; bond market ... See more keywords
On the term structure of liquidity in the European sovereign bond market
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2020.105777
Abstract: The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS,… read more here.
Keywords: liquidity; bond market; market; sovereign bond ... See more keywords
Drivers of green bond market growth: The importance of Nationally Determined Contributions to the Paris Agreement and implications for sustainability
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Cleaner Production"
DOI: 10.1016/j.jclepro.2019.118643
Abstract: Abstract Green bonds are increasingly being applied to finance emissions reductions, sustainable development, and other cleaner production investments conducive to reaching the 2 °C temperature target of the Paris Agreement. As their markets are relatively nascent,… read more here.
Keywords: bond; green bond; bond market; market growth ... See more keywords
Bond market development and bank stability: Evidence from emerging markets
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101498
Abstract: Abstract We investigate how bond market development shapes banks’ risk taking in terms of portfolio structure, liquidity risk, and overall bank risk. Exploiting a bank-level database of 26 emerging markets, we find that larger bond… read more here.
Keywords: market development; bank; bond; bond market ... See more keywords
Foreign Portfolio Investment Flows and Exchange Rate: Evidence in Indonesia
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DOI: 10.1080/1540496x.2018.1496419
Abstract: ABSTRACT Using unique daily foreign transactions data in both stock and bond markets, we investigate the daily dynamics of the IDR/USD exchange rate and foreign portfolio investment flows. Based on an unrestricted vector autoregression (VAR)… read more here.
Keywords: market nfi; stock market; bond market; market ... See more keywords
Research on Bond Participants’ Emotion Reactions Toward the Internet News in China’s Bond Market
Sign Up to like & getrecommendations! Published in 2022 at "Frontiers in Psychology"
DOI: 10.3389/fpsyg.2022.855063
Abstract: The literature has widely studied the market response to the financial news or events but mainly focused on the stock market. This article associates the concept of internet news with the bond market response and… read more here.
Keywords: bond market; bond; news; financial news ... See more keywords
A Network Approach to the Study of the Dynamics of Risk Spillover in China’s Bond Market
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DOI: 10.3390/e23070920
Abstract: Since 2018, the bond market has surpassed the stock market, becoming the biggest investment area in China’s security market, and the systemic risks of China’s bond market are of non-negligible importance. Based on daily interest… read more here.
Keywords: network; interest rate; bond; bond market ... See more keywords