Global determinants of Malaysia government bond

Global determinants of Malaysia government bond

This study seeks to investigate the global determinants of Malaysia government bond yield using monthly data from 2008 to 2019. This study employs the Johansen cointegration test and Vector Error Correction Model (VECM) to test the existence of long-run and short-run equilibrium within Malaysia gove...

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Main Author: Ahmad Al Izham, Izadin
Format: Thesis
Language:eng
eng
Published: 2021
Subjects:
HG Finance
HJ Public Finance
Online Access:https://etd.uum.edu.my/10399/1/01.pdf
https://etd.uum.edu.my/10399/2/s822497_01.pdf
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spelling my-uum-etd.103992023-03-09T01:25:42Z Global determinants of Malaysia government bond 2021 Ahmad Al Izham, Izadin Mohd Yusof, Rosylin School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance HJ Public Finance This study seeks to investigate the global determinants of Malaysia government bond yield using monthly data from 2008 to 2019. This study employs the Johansen cointegration test and Vector Error Correction Model (VECM) to test the existence of long-run and short-run equilibrium within Malaysia government bond yield using the VIX index as a proxy for investor sentiment, USDMYR representing Malaysia currency, oil price and gold price. The results of the study suggest that investor sentiment and gold price have significant relationships with the Malaysia government bond yield in the long run while oil price, currency, investor sentiment and gold price have a short-run relationship with Malaysia government bond. However, only VIX index and oil price granger casual Malaysia government bond yield in the short run. This research will help explain the domestic bond market yield movement using more frequent daily data point like VIX index, currency, oil price and gold price compared to macroeconomic data like GDP or other Malaysia’s fiscal data which are only available on a monthly or quarterly basis. This research will also add to the literature study on the determinants of the Malaysia Government bond which allow regulators to design policies in improving the efficiency of the bond market in Malaysia 2021 Thesis https://etd.uum.edu.my/10399/ https://etd.uum.edu.my/10399/1/01.pdf text eng staffonly https://etd.uum.edu.my/10399/2/s822497_01.pdf text eng public other masters Universiti Utara Malaysia
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Mohd Yusof, Rosylin
topic HG Finance
HJ Public Finance
spellingShingle HG Finance
HJ Public Finance
Ahmad Al Izham, Izadin
Global determinants of Malaysia government bond
description This study seeks to investigate the global determinants of Malaysia government bond yield using monthly data from 2008 to 2019. This study employs the Johansen cointegration test and Vector Error Correction Model (VECM) to test the existence of long-run and short-run equilibrium within Malaysia government bond yield using the VIX index as a proxy for investor sentiment, USDMYR representing Malaysia currency, oil price and gold price. The results of the study suggest that investor sentiment and gold price have significant relationships with the Malaysia government bond yield in the long run while oil price, currency, investor sentiment and gold price have a short-run relationship with Malaysia government bond. However, only VIX index and oil price granger casual Malaysia government bond yield in the short run. This research will help explain the domestic bond market yield movement using more frequent daily data point like VIX index, currency, oil price and gold price compared to macroeconomic data like GDP or other Malaysia’s fiscal data which are only available on a monthly or quarterly basis. This research will also add to the literature study on the determinants of the Malaysia Government bond which allow regulators to design policies in improving the efficiency of the bond market in Malaysia
format Thesis
qualification_name other
qualification_level Master's degree
author Ahmad Al Izham, Izadin
author_facet Ahmad Al Izham, Izadin
author_sort Ahmad Al Izham, Izadin
title Global determinants of Malaysia government bond
title_short Global determinants of Malaysia government bond
title_full Global determinants of Malaysia government bond
title_fullStr Global determinants of Malaysia government bond
title_full_unstemmed Global determinants of Malaysia government bond
title_sort global determinants of malaysia government bond
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2021
url https://etd.uum.edu.my/10399/1/01.pdf
https://etd.uum.edu.my/10399/2/s822497_01.pdf
_version_ 1776103808392232960

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