Inflation Announcements and Financial Market Reaction: Evidence From the Long-Term Bond Market

Michael Smirlock

doi:10.2307/1925515

A Drivers of Islamic Bond Liquidity in Malaysia: Latent Liquidity Approach

International Journal of Economics and Finance ◽

10.5539/ijef.v10n10p85 ◽

2018 ◽

Vol 10 (10) ◽

pp. 85

Author(s):

Rusmawati Said ◽

Wan Nurhanan Wan Suhaimi ◽

Norhuda Abd Rahim ◽

Asmaddy Haris

Keyword(s):

Financial Market ◽

Random Effect ◽

Bond Market ◽

2008 Financial Crisis ◽

Transaction Data ◽

Effect Regression ◽

Illiquid Market ◽

The 2008 Financial Crisis ◽

Insight Into

A steady liquidity level is an importance characteristic of a financial market, especially after the 2008 financial crisis. The Islamic financial market was virtually isolated from the crisis. It is interesting to explore the underlying determinants that stabilise a market’s liquidity level. This paper studies the determinants of a Sukuk’s liquidity level in the Malaysian bond market using a new liquidity measure known as latent liquidity. The measure does not require transaction data, which makes it applicable to an illiquid market such as the Malaysian bond market. Utilising data from the Malaysian bond market, the paper involves two steps of data analyses, namely an insight into the trend and the liquidity level of the Sukuk market. It then continues to investigate the driver of Sukuk’s liquidity using the latent liquidity as a proxy against five Sukuk characteristics in a random effect regression model. Four variables issuance amount, maturity, coupon rate, and age are found to be significant drivers of Sukuk’s liquidity level. Conclusions drawn from the regression results indicate Sukuk’s investors’ preference in matching long term Sukuk with their long term liabilities, in addition to their fondness for keeping their Sukuk to amortise the return.

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Identifying long-term precursors of financial market crashes using correlation patterns

New Journal of Physics ◽

10.1088/1367-2630/aae7e0 ◽

2018 ◽

Vol 20 (10) ◽

pp. 103041 ◽

Cited By ~ 7

Author(s):

Hirdesh K Pharasi ◽

Kiran Sharma ◽

Rakesh Chatterjee ◽

Anirban Chakraborti ◽

Francois Leyvraz ◽

...

Keyword(s):

Financial Market ◽

Market Crashes

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Multifactor APT Approach towards Predicted Patterns of Long-term ASEAN Financial Market Integration

10.31227/osf.io/a6hr2 ◽

2018 ◽

Author(s):

Andysah Putera Utama Siahaan ◽

Rusiadi

Keyword(s):

Data Analysis ◽

Financial Market ◽

Market Integration ◽

Southeast Asian ◽

Asian Countries ◽

Financial Market Integration ◽

Asean Country ◽

Asean Countries ◽

Southeast Asian Countries

The purpose of this study is to obtain a predictive pattern of the integration of ASEAN financial markets with the Multifactor Arbitrage Pricing Theory (APT) approach. The specific target in this study is Analyzing the effectiveness of the Multifactor APT Model in forming a predictive pattern of financial market integration in Southeast Asian countries, both in the short, medium and long-term. Establish the fastest and most appropriate ASEAN country in predicting financial market integration in Southeast Asian countries, both in the short, medium and long-term. The hypothesis in this study is that the Multifactor APT model is useful in forming a predictive pattern of financial market integration in Southeast Asian countries. Indonesia is the fastest and appropriate ASEAN country to use in predicting the occurrence of financial market integration in Southeast Asian countries. The data analysis model used is Vector Autoregression (VAR), Impulse Response Function (IRF), Forecast Error Variance Decomposition (FEVD). The assumption test used is Stationarity Test, Cointegration Test, Lag Stability Test, VAR Structure and Determination of Optimal Lag Levels. The results of data analysis with VAR are expected to be able to form a pattern of predictions of effective financial market integration in ASEAN countries. Varian Decomposition results can determine which ASEAN countries are the fastest and most appropriate in predicting the occurrence of financial market integration in Southeast Asian countries, both in the short, medium and long-term.

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Which News Moves the Euro Area Bond Market?

German Economic Review ◽

10.1111/j.1468-0475.2008.00439.x ◽

2009 ◽

Vol 10 (1) ◽

pp. 1-31 ◽

Cited By ~ 45

Author(s):

Magnus Andersson ◽

Szabolcs Sebestyén ◽

Lars Jul Overby

Keyword(s):

Monetary Policy ◽

Euro Area ◽

Bond Market ◽

Bond Markets ◽

Market Responses ◽

Macroeconomic Announcements ◽

Bond Futures

AbstractThis paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

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