Factors Affecting the Yields of Emerging Market Issuers in International Bond Markets: Evidence from Thailand

20 Pages Posted: 10 Nov 2003

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University

Thomas Fetherston

University of Alabama at Birmingham

Pongsak Hoontrakul

Sasin of Chulalongkorn University

Date Written: Jun 14, 2001

Abstract

We investigate the yield spread between Thai Government bonds issued in the US domestic market and US Treasury bonds to determine the long-term equilibrium dynamics and the extent that interest rate and asset factors affect changes in credit spreads. The results suggest that the long-term equilibrium relationship holds only between Thai bonds and long-term US bonds rather than shorter or equivalent maturity bonds. Also a GARCH (1,1) specification, to accommodate the time-varying volatility structure, suggests credit spreads of Thai Government bonds are negatively related to changes in the Thai SET Index. Changes in US Treasury bonds also equally affect these spreads, albeit negatively for short-term bonds, and positively for long bonds.

Suggested Citation

Batten, Jonathan A. and Fetherston, Thomas A. and Hoontrakul, Pongsak, Factors Affecting the Yields of Emerging Market Issuers in International Bond Markets: Evidence from Thailand (Jun 14, 2001). Available at SSRN: https://ssrn.com/abstract=292920 or http://dx.doi.org/10.2139/ssrn.292920

Jonathan A. Batten

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Thomas A. Fetherston

University of Alabama at Birmingham ( email )

Birmingham, AL 35294
United States
205-934-8860 (Phone)
205-975-6234 (Fax)

Pongsak Hoontrakul (Contact Author)

Sasin of Chulalongkorn University ( email )

Sasa Patasala Building, Soi Chulalongkorn 12 (2)
Phyathai Road
Bangkok 10330
Thailand
+662 954 1689 (Phone)
+662 954 1690 (Fax)

HOME PAGE: http://www.pongsak.hoontrakul.com

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