The Determinants of Bond Market Development: Further Evidence from Emerging and Developed Countries

Smaoui, Houcem; Grandes, Martín; Akindele, Akintoye

doi:10.1016/j.ememar.2017.06.003

Cited by 38 publications

(46 citation statements)

References 34 publications

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“…It is true that the previous studies such as Smaoui et al (2017) and Eichengreen and Luengnaruemitchai (2004) could not necessarily obtain expected results for all of hypothesized determinants for bond market development, and major determinants differed according to their estimations. The emphasis of this study is that two manageable variables, namely, bureaucracy quality (GOVE) and level of interest rate (INTR), are major determinants for both public and private bond market development.…”

Section: Estimation Outcomesmentioning

confidence: 88%

“…Bae (2012), examining government and corporate bond markets with a sample of 43 countries during 1990-2009, found that mature and well-developed banking sector is critically important to the further development of bond market, particularly to the corporate bond market and provided policy suggestions to further develop bond markets in China. Smaoui et al (2017), sampling 22 emerging and developing countries over the period 1990-2013, revealed that a combination of structural, financial and institutional factors exerts a significant effect on bond market development.…”

Section: Literature Review and Contributionmentioning

confidence: 99%

“…Considering the analytical interest above and the data availability below, the estimation constructs the panel data for the period from 1996 to 2016 with the following ten Asian economies: China, India, Indonesia, Malaysia, Mongolia, Pakistan, the Philippines, Sri Lanka, Thailand and Vietnam. The estimation basically adopts the variables common to the previous studies: Smaoui et al (2017) and Eichengreen and Luengnaruemitchai (2004), but modifies them for the study's concerns. These previous studies explained the development of both public and private bond markets, and adopted around twenty explanatory variables as the bond market determinants under the following hypothesized categories: structural characteristic, developmental stage, governance and regulation of financial sector and macroeconomic policies.…”

Section: Key Variables and Datamentioning

confidence: 99%

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The Development Stage of Bond Market in Mongolia among Asian Countries

Taguchi¹,

Bolormaa²

2019

AEF

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This paper aims to address the issue on bond market development by investigating the determinants of bond market development with a focus on Asian economies, and also by identifying the impediment factors to prevent its development in Mongolian economy. This paper contributes to the literature by enriching evidence of the determinants of bond market development with a focus on Asian economies with common characteristics such as their high dependence on banking sectors. In particular, while there have been few studies on an individual economy's bond market, the strategic contribution is to identify the Mongolia-specific factors to prevent her bond market development among Asian economies. The estimation result shows that the two manageable variables, namely, bureaucracy quality and level of interest rate, are major determinants for both public and private bond market development in Asian economies, and also that these determinants are main factors to prevent the Mongolian bond market from developing.

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Section: Estimation Outcomesmentioning

confidence: 88%

Section: Literature Review and Contributionmentioning

confidence: 99%

Section: Key Variables and Datamentioning

confidence: 99%

See 1 more Smart Citation

The Development Stage of Bond Market in Mongolia among Asian Countries

Taguchi¹,

Bolormaa²

2019

AEF

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“…Faktor-faktor tersebut antara lain economy size, Stage of development/ PDB per kapita, perdangan terbuka, sistem perbankan, variabilitas nilai tukar (Bhattacharyay, 2013;Smaoi et. al., 2017), keseimbangan fiskal (Smaoui et. al., 2017), dan variabilitas suku bunga (Bhattacharyay, 2013).…”

Section: Kajian Teoritik Dan Hipotesisunclassified

Pengaruh Sistem Perbankan, Makroekonomi, Dinamika Pasar Keuangan terhadap Perkembangan Sukuk Korporasi

Zusryn¹,

Hashfi²,

Nasution³

2020

j.econom.buss.asea

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The purpose of this study is to determine the factors that influence the development of corporate sukuk in Indonesia. The data used are monthly data for 2013-2016 macroeconomic variables, crude oil price, conventional banking loans, interest rate spread, sharia banking assets, outstanding Indonesian corporate bonds, market value of sharia stock market capitalization, and standard deviation the Jakarta Interbank Offered Rate (JIBOR). In this study using time series data analysis, namely Autoregressive Distributed Lag (ARDL) which is a development and complements the weaknesses of the Vector Autoregressive (VAR) analysis. The results of this study indicate that there is a positive influence on world crude oil prices, the development of corporate bonds, and Islamic banking assets on the development of corporate sukuk. In addition, sharia stock market capitalization, interest rate spread, and market interest rate volatility negatively impact the development of corporate sukuk. These results indicate an increase in demand and supply in corporate sukuk in Indonesia. This study found a complementary relationship between corporate bonds and Islamic banking on the development of corporate sukuk so that synergy and coordination of stakeholders is expected, namely the government, industry players, companies and related parties.

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“…It is similar to a study of Barr & Campbell (1997), stating that monetary policy affects short-term bonds and has no effect on the long run. A more advanced bond market is usually associated with stronger macroeconomic fundamentals, more stable financial system, stronger institutional framework, more open economy, loyal investors, increasing demands of bonds, especially those with a long period of time (Smaoui, Grandes, & Akindele, 2017). For that matter, the dynamics of the bond market with a high level of volatility until recently have been caused by the uncertainty of the Fed raising interest rates in 2018.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric volatility and macroeconomic factors on Indonesian government bond returns

Megasari

Siregar

Syarifuddin

2019

Jurnal Keuangan Dan Perbankan

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Macroeconomic are important variables influencing volatility in the bond market. Some of the challenges faced such as default risk, liquidity risk, interest rate risk, inflation risk, and exchange rate risk. This study is aimed at examining asymmetric volatility using the EGARCH model and at estimating macroeconomic variables which influence the return of Indonesian Government bonds. The asymmetric volatility can be measured by determining the best order value of the EGARCH model. Based on the findings of the study, EGARCH (2.1) is the best model for assessing volatility in shortterm SUN returns, EGARCH (3.1) for medium-term SUN and EGARCH (2.3) for the long term. The asymmetric volatility pertains in the returns of short, medium and long-term government bonds. In addition, the negative information has a greater impact than positive information in the short, medium and long term. The deposit rate and return of the Composite Stock Price Index have a significant positive effect on short, medium and long term bond returns. The effective federal funds rate or FED interest rate has a significant positive effect on the return of short and long-term SUN bonds while in the medium term it has no effect. Exchange rates have a significant negative effect on short, medium and long term bond returns. AbstrakEkonomi makro adalah variabel penting yang mempengaruhi volatilitas di pasar obligasi. Beberapa tantangan yang sering dihadapi seperti risiko gagal bayar, risiko likuiditas, risiko suku bunga, risiko inflasi, dan risiko nilai tukar. Penelitian ini bertujuan untuk menguji volatilitas asimetris menggunakan model EGARCH dan memperkirakan variabel-variabel ekonomi makro yang mempengaruhi return obligasi Pemerintah Indonesia. Volatilitas asimetris dapat diukur dengan menentukan nilai urutan terbaik dari model EGARCH. Berdasarkan temuan penelitian ini, EGARCH (2.1) adalah model terbaik untuk menilai volatilitas dalam pengembalian SUN jangka pendek, EGARCH (3.1) untuk SUN jangka menengah dan EGARCH (2.3) untuk jangka panjang. Volatilitas asimetris berkaitan dengan pengembalian obligasi pemerintah jangka pendek, menengah dan panjang. Selain itu, informasi negatif memiliki dampak yang lebih besar daripada informasi positif dalam jangka pendek, menengah dan panjang. Suku bunga deposito dan pengembalian Indeks Harga Saham Gabungan memiliki efek positif yang signifikan terhadap pengembalian obligasi jangka pendek, menengah dan panjang. Tingkat dana federal yang efektif atau tingkat suku bunga the Fed memiliki efek positif yang signifikan terhadap pengembalian obligasi SUN jangka pendek dan jangka panjang, sedangkan dalam jangka menengah tidak berpengaruh. Nilai tukar memiliki efek negatif yang signifikan pada return obligasi jangka pendek, menengah dan panjang.

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The Determinants of Bond Market Development: Further Evidence from Emerging and Developed Countries

Cited by 38 publications

References 34 publications

The Development Stage of Bond Market in Mongolia among Asian Countries

The Development Stage of Bond Market in Mongolia among Asian Countries

Pengaruh Sistem Perbankan, Makroekonomi, Dinamika Pasar Keuangan terhadap Perkembangan Sukuk Korporasi

Asymmetric volatility and macroeconomic factors on Indonesian government bond returns

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