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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/1322

Title: Three essays in asset pricing of sovereign fixed income instruments
Authors: Piga, Gustavo
Kucuk, Ugur Namik
Keywords: emerging market sovereign bonds
sovereign bond market
credit risk
credit default swaps
basis
liquidity
emerging market equity markets
local currency bonds
financial markets
emerging markets
bond portfolio
excess returns
Issue Date: 12-Jul-2010
Abstract: Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market. In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimate the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the basis is large and positive for speculative grade bonds and slightly negative for investment grade bonds. Large positive basis for speculative grade bonds support the existence of speculation in the CDS market when the underling’s credit quality is bad. I study the effects of bond liquidity, liquidity in the CDS market, equity market performance and macroeconomic variables on the non-default component of the emerging market yield spreads. I show that bond liquidity has...
Description: 21. ciclo
URI: http://hdl.handle.net/2108/1322
Appears in Collections:Tesi di dottorato in economia

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