Factors that affect yield spreads of Malaysian bonds / Nabilah Hamid

• Main Author: Hamid, Nabilah
• Format: Student Project
• Language: English
• Published: 2014
• Subjects: Macroeconomics; Securities. Fixed-income securities; Bonds
• Online Access: https://ir.uitm.edu.my/id/eprint/76607/1/76607.pdf; https://ir.uitm.edu.my/id/eprint/76607/

This paper aims at finding out the impact of macroeconomic variables on yield spreads between conventional and real return bonds in Malaysia. The variables considered are Kuala Lumpur Composite Index (KLCI), interest rate (IR) , money supply (M2) and inflation rate (INF). The sample of this study comprises of 32 observations each of the independent and dependent variables on a quarterly basis over 8 years period from 2006 to 2013. Methodology used for this study is by using natural logarithms with time series data sourced from Data Stream. Thereafter, econometric tests are to be conducted to observe the relationship of the macroeconomic variables to the yield spreads of bond market in Malaysia. Interactive software package E-view would be used for testing and analysing the data collected. The study is an attempt to investigate the relationship of the chosen macroeconomic variables towards yield spreads of conventional and real return bonds in Malaysia. The results of this research paper would provide us either positive relationship or negative relationship between macroeconomic variables and yield spreads.