The performance assessment of government bonds among COVID-19 affected top-10 countries

The unprecedented worldwide epidemic of COVID-19 has had a significant impact on the government bond market, both in terms of yield responses and volatility impacts. This study investigates the short run and long run performance of 3-month, 1-year, 5-year and 10-year government bond of the top-10 CO...

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Main Author:	Muhammad Nadiy, mat Noh
Format:	Thesis
Language:	eng eng eng
Published:	2021
Subjects:	HG Finance HJ Public Finance
Online Access:	https://etd.uum.edu.my/10364/1/grant%20the%20permission_825076.pdf https://etd.uum.edu.my/10364/2/s825076_01.pdf https://etd.uum.edu.my/10364/3/s825076_02.pdf
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id	my-uum-etd.10364
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spelling	my-uum-etd.103642023-03-01T08:42:47Z The performance assessment of government bonds among COVID-19 affected top-10 countries 2021 Muhammad Nadiy, mat Noh Alam, Md Mahmudul School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance HJ Public Finance The unprecedented worldwide epidemic of COVID-19 has had a significant impact on the government bond market, both in terms of yield responses and volatility impacts. This study investigates the short run and long run performance of 3-month, 1-year, 5-year and 10-year government bond of the top-10 COVID-19 affected countries which are United States, India, Brazil, Russia, United Kingdom, France, Spain, Italy, Turkey and Germany during the year 2020. Using collected data from S&P Global and Investing.com, an event study technique and GARCH Model are developed to analyze the reactions of government bond yield during the period of the pandemic. The findings of the Event Study suggested that COVID-19 had significant effect on the government bond yield in some of the countries studied. The Event Study Analysis showed that most studied countries recoded negatively significant result before and after the announcement of first confirmed case of COVID-19 hit these countries. The findings in GARCH Model also suggested that COVID-19 had significant effect on the bond yield’s velocity. These findings proved that COVID-19 had a significant impact on these countries' government bond yield performance. The findings are expected to help policymakers, governments, investors and traders to predict the immediate outcomes of their investments or decisions making. The limitation is that this study only focusses on 3-month, 1-year, 5-year and 10-year government bond of the top-10 COVID-19 affected countries. Future study might concentrate on other countries or different government bond maturities. 2021 Thesis https://etd.uum.edu.my/10364/ https://etd.uum.edu.my/10364/1/grant%20the%20permission_825076.pdf text eng staffonly https://etd.uum.edu.my/10364/2/s825076_01.pdf text eng staffonly https://etd.uum.edu.my/10364/3/s825076_02.pdf text eng staffonly other masters Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng eng
advisor	Alam, Md Mahmudul
topic	HG Finance HJ Public Finance
spellingShingle	HG Finance HJ Public Finance Muhammad Nadiy, mat Noh The performance assessment of government bonds among COVID-19 affected top-10 countries
description	The unprecedented worldwide epidemic of COVID-19 has had a significant impact on the government bond market, both in terms of yield responses and volatility impacts. This study investigates the short run and long run performance of 3-month, 1-year, 5-year and 10-year government bond of the top-10 COVID-19 affected countries which are United States, India, Brazil, Russia, United Kingdom, France, Spain, Italy, Turkey and Germany during the year 2020. Using collected data from S&P Global and Investing.com, an event study technique and GARCH Model are developed to analyze the reactions of government bond yield during the period of the pandemic. The findings of the Event Study suggested that COVID-19 had significant effect on the government bond yield in some of the countries studied. The Event Study Analysis showed that most studied countries recoded negatively significant result before and after the announcement of first confirmed case of COVID-19 hit these countries. The findings in GARCH Model also suggested that COVID-19 had significant effect on the bond yield’s velocity. These findings proved that COVID-19 had a significant impact on these countries' government bond yield performance. The findings are expected to help policymakers, governments, investors and traders to predict the immediate outcomes of their investments or decisions making. The limitation is that this study only focusses on 3-month, 1-year, 5-year and 10-year government bond of the top-10 COVID-19 affected countries. Future study might concentrate on other countries or different government bond maturities.
format	Thesis
qualification_name	other
qualification_level	Master's degree
author	Muhammad Nadiy, mat Noh
author_facet	Muhammad Nadiy, mat Noh
author_sort	Muhammad Nadiy, mat Noh
title	The performance assessment of government bonds among COVID-19 affected top-10 countries
title_short	The performance assessment of government bonds among COVID-19 affected top-10 countries
title_full	The performance assessment of government bonds among COVID-19 affected top-10 countries
title_fullStr	The performance assessment of government bonds among COVID-19 affected top-10 countries
title_full_unstemmed	The performance assessment of government bonds among COVID-19 affected top-10 countries
title_sort	performance assessment of government bonds among covid-19 affected top-10 countries
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2021
url	https://etd.uum.edu.my/10364/1/grant%20the%20permission_825076.pdf https://etd.uum.edu.my/10364/2/s825076_01.pdf https://etd.uum.edu.my/10364/3/s825076_02.pdf
_version_	1776103800530010112

The performance assessment of government bonds among COVID-19 affected top-10 countries

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