Bond Fund Returns and Expenses: A Study of Bond Market Efficiency

CFA Digest ◽  
2000 ◽  
Vol 30 (3) ◽  
pp. 32-33
Author(s):  
Joseph D. Vu
Keyword(s):  
Market Efficiency ◽  
Bond Market ◽  
Bond Fund

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.

VARIANCE BOUND TESTS OF BOND MARKET EFFICIENCY

1993 ◽  
Vol 16 (2) ◽  
pp. 89-106
Author(s):  
Chao-Hsi Huang ◽  
Louis H. Ederington
Keyword(s):  
Market Efficiency ◽  
Bond Market ◽  
Variance Bound

scholarly journals Infrastructure Asset Reporting and Pricing Uncertainty in the Municipal Bond Market

2016 ◽  
Vol 5 (1) ◽  
pp. 53-70 ◽  
Author(s):  
Rebecca I. Bloch ◽  
Justin Marlowe ◽  
Dean Michael Mead
Keyword(s):  
Market Efficiency ◽  
Information Content ◽  
Bond Market ◽  
Secondary Market ◽  
Municipal Bond ◽  
Unique Information ◽  
Financial Condition ◽  
Infrastructure Provision

ABSTRACT We examine the infrastructure provision of the GASB's Statement No. 34 to determine whether there is unique information content in the modified approach versus traditional depreciation, both allowable under this provision. Using a dataset containing investor bid spreads on secondary market bond auctions from states using the modified approach as well as those from states using traditional depreciation, we find bonds from modified approach states have significantly narrower bid spreads than bonds from traditional depreciation states, indicating the modified approach provides unique information about governments' financial condition. Findings suggest the modified approach reduces uncertainty about infrastructure condition, improving market efficiency.

Sign in / Sign up

Export Citation Format

Share Document