This study empirically analyzes the determinants of bond market development in a cross section of 23 sub-Saharan African (SSA) countries between 1990 and 2008. It considers the stage of development ...and the size of the bond market, as well as the historical, structural, institutional and macroeconomic factors driving bond market development in SSA. The study finds that the savings constraint is a key impediment to domestic bond markets development as well as financial market deepening, as it results in a low level of financial intermediation by the banks. Overall, the results show that a confluence of factors matters for the development of domestic bond markets in SSA; these include structure of the economy, investment profile, law and order, size of the banking sector, the level of economic development, and various macroeconomic factors. Policy implications include increased efforts to strengthen the investment environment and the need for a regional approach to bond market development.
The study applies the effective transfer entropy (ETE) and Renyi transfer entropy (RTE) to quantify the information flow between government bonds and equity market of G7 countries. The magnitude and ...direction of information flow between these two markets are dynamic across the state of the markets and time thus confirming their adaptiveness to the evolution of cross-market information flow under different market conditions over time. Although information flow from the equity dominates the flow from the bond market, it is dynamic over the time and state of the markets. However, during the period of market turbulence, the bond dominates the equity market. This study is the first of its kind to validate the adaptive market hypothesis using the novel transfer entropy framework in the bond and equity market.
Credit risk mitigation warrants (CRMW), sometimes called Chinese credit default swaps (CDS), are created by institutions other than the issuer of an underlying bond to provide credit risk protection ...for the holder of the warrant on the underlying debt. In this paper, we investigate the impact of CRMW on the Chinese bond market by examining whether trading in them is beneficial for the underlying secondary corporate bond market. We employ period-partitioned regressions to analyze all the observations in our dataset in the absence of continuous daily trading, because bonds often trade discretely. We find that after CRMW trading was introduced, the efficiency of the bond market improved, but not bond pricing and liquidity.
The Eurosystem purchased €178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector Purchase Programme (CSPP). Did these purchases lead to a deterioration of ...liquidity conditions in the corporate bond market, thus raising concerns about unintended consequences of large-scale asset purchases? To answer this question, we combine the Bundesbank's detailed CSPP purchase records with a range of liquidity indicators. We find that while the flow of purchases initially supported secondary market liquidity by providing a predictable source of demand, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market.
•We study the effect of the Bundesbank's Corporate Sector Purchase Programme (CSPP) on market liquidity.•We differentiate between the impact of the Bundesbank's purchase flow on contemporaneous liquidity...•... and the impact of the cumulative purchases on liquidity after the end of the active purchase phase.•We find that initially, the flow of purchases supported liquidity by providing a predictable source of demand.•In contrast, liquidity conditions deteriorated in the long-run as the stock of bonds available for trading declined.
We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 – June 2017). Focusing on the ...primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both directly on purchased and targeted bonds and indirectly on all other bonds. The magnitude and the timing of the changes in yield spreads, coupled with the evolution of bond placements, are fully consistent with the proper unfolding the portfolio rebalancing channel.
•We assess the impact of the ECB corporate purchase programme (CSPP) over the first year of purchases (June 2016-June 2017).•We find: an announcement effect, a direct effect on eligible bonds and an indirect effect on non-eligible bonds•We use an empirical strategy that allows us to distinguish between supply and demand shifts in the corporate bond market•By looking at “quantity-price” pairs we find consistency with the working and timing of the portfolio rebalancing channel
- Foreword and acknowledgements - Acronyms and abbreviations - Executive summary - Mobilising bond markets for a low-carbon transition - Barriers, policy actions and options for green bond market ...development and growth - A quantitative framework for analysing potential bond contributions in a low-carbon transition - Glossary.
•Analyzed return and volatility spillovers between green bond and financial markets.•Conducted network connectedness based on return and volatility spillover indices.•Significant spillovers existed ...between green bond market and other bond markets.•Major events significantly affect the level of risk spillovers between each market.
This study investigated the dynamic return and volatility spillovers, together with the network connectedness analysis between China’s green bond and main financial markets. Based on a multidimensional DCC-GJRGARCH model and the spillover index method, we found significant two-way risk spillovers between the green bond market and traditional bond markets. Moreover, the green bond market was subject to one-way risk spillover from the stock and commodities markets. Meanwhile, risk spillovers between the green bond market, forex market, and monetary market were not significant. Finally, network connectedness analysis provided specific information about connectivity and strength during different subperiods corresponding to financial events. The analysis indicated that under the influence of emergencies, China’s financial market will enhance the risk-spillover level by transforming the same type of market’s internal spillover into cross-market spillover.
Do shareholders benefit from green bonds? Tang, Dragon Yongjun; Zhang, Yupu
Journal of corporate finance (Amsterdam, Netherlands),
April 2020, 2020-04-00, Letnik:
61
Journal Article
Recenzirano
The green bond market has been growing rapidly worldwide since its debut in 2007. We present the first empirical study on the announcement returns and real effects of green bond issuance by firms in ...28 countries during 2007–2017. After compiling a comprehensive international green bond dataset, we document that stock prices positively respond to green bond issuance. However, we do not find a consistently significant premium for green bonds, suggesting that the positive stock returns around green bond announcements are not fully driven by the lower cost of debt. Nevertheless, we show that institutional ownership, especially from domestic institutions, increases after the firm issues green bonds. Moreover, stock liquidity significantly improves upon the issuance of green bonds. Overall, our findings suggest that the firm's issuance of green bonds is beneficial to its existing shareholders.
•Stock prices positively respond to green bond issuance.•Positive stock returns are not driven by the lower cost of debt.•Institutional ownership, especially from domestic institutions, increases after the firm issues green bonds.•Stock liquidity significantly improves upon the issuance of green bonds.•Firm's issuance of green bonds is beneficial to its existing shareholders.
ABSTRACT
In 2010, the Municipal Securities Rulemaking Board proposed a rule change requiring the display of current credit ratings on the EMMA website, a centralized repository of municipal bond ...information. Before the rule change, current credit ratings were freely available on individual rating agencies’ websites or on EMMA if municipalities provided relevant continuing disclosures, making it unclear whether the rule change would benefit investors. A difference-in-differences analysis reveals the rule change is associated with a 6–8 basis-point decrease in investor transaction costs. This effect is concentrated among the intended beneficiaries (retail investors) when credit risk information demand is high (long-maturity bonds) and current credit rating information on EMMA is low (no continuing disclosure of rating changes was provided on EMMA). The rule change appears to have helped retail investors become aware of current credit ratings by filling a disclosure gap on EMMA for municipalities without continuing disclosures of rating changes.
PDF
