Correlations in Emerging Market Bonds

Correlations in Emerging Market Bonds
Author: Mr.A. Javier Hamann
Publisher: International Monetary Fund
Total Pages: 28
Release: 2010-01-01
Genre: Business & Economics
ISBN: 1451961774
GET BOOK

Download Correlations in Emerging Market Bonds Book in PDF, Epub and Kindle

This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.

Time Varying Correlations between Stock and Bond Returns - Evidence from Russia

Time Varying Correlations between Stock and Bond Returns - Evidence from Russia
Author: Kashif Saleem
Publisher:
Total Pages: 16
Release: 2008
Genre:
ISBN:
GET BOOK

Download Time Varying Correlations between Stock and Bond Returns - Evidence from Russia Book in PDF, Epub and Kindle

The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We start our investigation by applying Bollerslev (1990) Constant conditional correlation model to test whether varying correlations are statistically significant then we use DCC-GARCH (1, 1) model proposed by Engle (2002) to analyze the dynamics of conditional correlations between the two assets. Finally, to investigate the asymmetries in conditional variances, covariances, and correlations, we adopt an asymmetric version of the Dynamic Conditional Correlation (ADCC) model proposed by Engle et al. (2006). Our empirical results do not support the assumption of constant conditional correlation and we found clear evidence of time varying correlations between Russian stocks and bond market. Our results offers a batter understanding for the dynamics of the correlations between stocks and bonds in an emerging market setting which is obviously very valuable for the portfolio managers, international investors, risk analysts and financial researchers as well as for the policy implications.

Bond Yields in Emerging Economies

Bond Yields in Emerging Economies
Author: Laura Jaramillo
Publisher: International Monetary Fund
Total Pages: 25
Release: 2012-08-01
Genre: Business & Economics
ISBN: 1475505485
GET BOOK

Download Bond Yields in Emerging Economies Book in PDF, Epub and Kindle

While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Gauging Liquidity Risk in Emerging Market Bond Index Funds
Author: Serge Darolles
Publisher:
Total Pages:
Release: 2017
Genre:
ISBN:
GET BOOK

Download Gauging Liquidity Risk in Emerging Market Bond Index Funds Book in PDF, Epub and Kindle

ETFs and index funds have grown at very rapid rates in recent years. Originally launched to track some large liquid indices in developed markets, they now also concern less liquid asset classes such as emerging market bonds. Illiquidity certainly affects the quality of the replication, and in particular, liquidity might increase the tracking error of any index fund, i.e., the difference between the fund and the benchmark returns. The tracking error is then the first characteristic that investors consider when they select index funds. In this paper, we begin from the CDS-bond basis to simulate the tracking error (TE) of a hypothetical well-diversified fund investing in the emerging market bond universe. We compute the CDS-bond basis and the tracking error for 9 emerging market sovereign entities: Brazil, Chile, Hungary, Mexico, Poland, Russia, South Africa, Thailand and Turkey. All of these countries are included in the MSCI Emerging Market Debt in Local Currency index. Our sample period ranges from January 1, 2007 to March 26, 2012. Using a Regime Switching for Dynamic Correlations (RSDC) model, we show that the country-by-country tracking error is reduced by the diversification at the fund level. Moreover, we show that this diversification effect is less effective during crisis periods. This loss of diversification benefits is the main risk of index funds when they are designed to create a liquid exposure to illiquid asset classes.

Portfolio Management in Practice, Volume 1

Portfolio Management in Practice, Volume 1
Author: CFA Institute
Publisher: John Wiley & Sons
Total Pages: 1328
Release: 2020-11-11
Genre: Business & Economics
ISBN: 1119743729
GET BOOK

Download Portfolio Management in Practice, Volume 1 Book in PDF, Epub and Kindle

Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals. As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process. Inside, readers will find detailed coverage of: Forming capital market expectations Principles of the asset allocation process Determining investment strategies within each asset class Integrating considerations specific to high net worth individuals or institutions into chosen strategies And more To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems. Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.

Bond Valuation in Emerging Markets

Bond Valuation in Emerging Markets
Author: Valentin Ulrici
Publisher: Josef Eul Verlag GmbH
Total Pages: 246
Release: 2007
Genre: Bond market
ISBN: 3899366409
GET BOOK

Download Bond Valuation in Emerging Markets Book in PDF, Epub and Kindle

Banks, Government Bonds, and Default

Banks, Government Bonds, and Default
Author: Nicola Gennaioli
Publisher: International Monetary Fund
Total Pages: 53
Release: 2014-07-08
Genre: Business & Economics
ISBN: 1498391990
GET BOOK

Download Banks, Government Bonds, and Default Book in PDF, Epub and Kindle

We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus.

Portfolio Design

Portfolio Design
Author: Richard C. Marston
Publisher: John Wiley & Sons
Total Pages: 374
Release: 2011-03-29
Genre: Business & Economics
ISBN: 047093123X
GET BOOK

Download Portfolio Design Book in PDF, Epub and Kindle

Portfolio Design – choosing the right mix of assets appropriate to a particular investor – is the key to successful investing. It can help you accumulate wealth over time, while cushioning the blow of possible economic downturns. But in order to successfully achieve this goal, you need to be familiar with all of the major asset classes that go into modern portfolios and learn how much they add to portfolio diversification. Thoughtful asset allocation provides discipline to the investment process and gives you the best chance of building and safeguarding wealth. Wharton Professor Richard C. Marston, 2014 recipient of the Investment Management Consultants Association’s prestigious Matthew R. McArthur Award, will guide you through the major decisions that need to be made when designing a portfolio and will put you in the best position to balance the risk-reward relationship that is part of this endeavor. Portfolio Design is to be read by investment advisors. The book is rich in information about individual asset classes, including both traditional assets like stocks and bonds as well as alternative assets such as hedge funds, private equity, real estate, and commodities. So it should appeal to all sophisticated advisors whether or not they are trying to qualify for one of the major investment designations. In fact, the book is designed to be read by any advisor who is as fascinated as Marston by the investment process.

The Investment Advisor Body of Knowledge + Test Bank

The Investment Advisor Body of Knowledge + Test Bank
Author: IMCA
Publisher: John Wiley & Sons
Total Pages: 1152
Release: 2015-03-05
Genre: Business & Economics
ISBN: 1118912411
GET BOOK

Download The Investment Advisor Body of Knowledge + Test Bank Book in PDF, Epub and Kindle

The complete body of knowledge for CIMA candidates and professionals The 2015 Certified Investment Management Analyst Body of Knowledge + Test Bank will help any financial advisor prepare for and pass the CIMA exam, and includes key information and preparation for those preparing to take the test. CIMA professionals integrate a complex body of investment knowledge, ethically contributing to prudent investment decisions by providing objective advice and guidance to individual and institutional investors. The CIMA certification program is the only credential designed specifically for financial professionals who want to attain a level of competency as an advanced investment consultant. Having the CIMA designation has led to more satisfied careers, better compensation, and management of more assets for higher-net-worth clients than other advisors. The book is laid out based on the six domains covered on the exam: I. Governance II. Fundamentals (statistics, finance, economics) III. Portfolio Performance and Risk Measurements IV. Traditional and Alternative Investments V. Portfolio Theory and Behavioral Finance VI. Investment Consulting Process