scholarly journals The Risk Parity Principle Applied on a Corporate Bond Index Using Duration Times Spread

2016 ◽  
Author(s):  
Lauren Stagnol
Keyword(s):  
Corporate Bond ◽  
Parity Principle ◽  
Bond Index ◽  
Risk Parity

scholarly journals An Index of the Yields of Junk Bonds, 1910–1955

2017 ◽  
Vol 77 (4) ◽  
pp. 1203-1219 ◽  
Author(s):  
Peter Basile ◽  
Sung Won Kang ◽  
John Landon-Lane ◽  
Hugh Rockoff
Keyword(s):  
Twentieth Century ◽  
High Risk ◽  
Corporate Bond ◽  
High Yield ◽  
Government Bond ◽  
Bond Yields ◽  
Middle Years ◽  
Bond Index ◽  
Junk Bonds

We present a new monthly index of the yields on junk bonds (high risk, high yield bonds) for the period 1910–1955. This index supplements the indexes of government bond yields, and Aaa and Baa corporate bond yields economic historians have relied on previously to describe the long-term risk spectrum. First, we describe our sources and methods. Then we show that our junk bond index contains information that is not in the closest alternative, and suggest some ways that the junk bond index could be used to enrich our understanding of the turbulent middle years of the twentieth century.

scholarly journals BOND MARKET EFFICIENCY AND VOLATILITY: EVIDENCE FROM RUSSIA

2019 ◽  
Vol 7 (4) ◽  
pp. 1389-1397
Author(s):  
Shadi Omran ◽  
Elena Semnkova
Keyword(s):  
Market Efficiency ◽  
Unit Root Test ◽  
Weak Form ◽  
Bond Market ◽  
Corporate Bond ◽  
Good Representation ◽  
Bond Markets ◽  
Government Bond ◽  
Time Model ◽  
Bond Index

Purpose of the study: In this paper, we use daily return for the Moscow Exchange Government Bond index (RGBITR) and Moscow Exchange Corporate Bond index (MICEXCBITR) over the period 2013 to 2018. Methodology: Normality test, unit root test (ADF) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model will be used in this paper. Results: The empirical results reveal that both government and corporate bond markets in Russia are not weak-form efficient. Furthermore, the volatility is persistent in both bond indices and resembles the same movement in returns. We find also that the GARCH (1,1) model is a good representation of the behavior of daily bond index returns in corporate and government bond markets in Russia. Applications of this study: This research can be used for the universities, teachers, and students. Novelty/Originality of this study: In this paper, for the first-time model of bond market efficiency and volatility has been studied.

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