Informational efficiency of sovereign bond markets of India and China: evidence from Toda and Yamamoto Granger causality (1995)

Bhat, Shariq Ahmad

doi:10.1007/s40622-018-0195-7

Cited by 2 publications

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“…The calculation of the effectiveness of thirty bond indices of both developed and developing countries was made in one of the works [15], based on which a rating of sovereign bond markets was compiled. The markets of individual countries, for example, India and China, were also analyzed [16].…”

Section: Literature Reviewmentioning

confidence: 99%

Efficiency of the green bond market and its role in regional security

2020

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Financing capital-intensive projects in the green economy is possible through green bonds. The assessment of the economic efficiency of the green bond market, the determination of its role in ensuring the energy and economic security of the regions and the development of directions and instruments for improving the efficiency and significance of the market for the Russian Federation are the aim of the study. The methodology involved the determination of the autocorrelation presence in the calendar series of bond yields using the Broysch-Godfrey LM test, the application of applied statistics methods to verify the existence of calendar effects on the stock exchange and analyze market reviews. Data on the green bond market were compared with data on other bonds. Market performance calculations were based on the S&P Green Bond Index and S&P 500 Bond Index. Features and benefits of green bonds as an instrument to ensure regional security were identified. The lack of market efficiency for green and other bonds, even in a weak form, was shown. The necessary institutional changes to improve the efficiency of the green bond market and develop it in the Russian Federation have been proposed. The findings are of theoretical importance, complementing the work on testing the hypothesis of an effective market, and of practical importance in the form of recommendations for on market improving.

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Section: Literature Reviewmentioning

confidence: 99%

Efficiency of the green bond market and its role in regional security

2020

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“…Yang and Copeland (2014) decompose UK market volatility into short-and long-run components using EGARCH component model and examine the cross-sectional prices of the two components. Bhat (2018) evaluated the informational efficiency of sovereign bond markets of India and China by using Toda and Yamamoto Granger causality. He found that both the markets are informationally inefficient, and there is unidirectional causality running from selected macroeconomic variables such as interest rate, exchange rate, gross domestic product and fiscal deficit to sovereign bond yields in India and China.…”

Section: Review Of Literaturementioning

confidence: 99%

Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999)

Bhat

Dar

2019

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This paper investigates the volatility persistence in sovereign bond yields of India and China during study period of 2010-2018. For that purpose, the researcher has applied the Engle and Lee (in: Engle and Lee (eds) Cointegration, causality, and forecasting: a Festschrift in honour of Clive WJ Granger, Oxford University Press, Oxford, pp 475-497, 1999) C-GARCH model to decompose the volatility of 10-year sovereign bond yields of India and China into permanent and transitory components. The results reveal that permanent conditional volatility shows long memory with long-run component's half-life decay ranges from 91 to 97 days for India and China, respectively. However, the temporary component of volatility much smaller with short-run component's half-life decay ranges from .70 to .75 for India and China, respectively.

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Informational efficiency of sovereign bond markets of India and China: evidence from Toda and Yamamoto Granger causality (1995)

Cited by 2 publications

References 30 publications

Efficiency of the green bond market and its role in regional security

Efficiency of the green bond market and its role in regional security

Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999)

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