Indian Streams Research Journal

Volume : VI, Issue : IV, May - 2016

THE EFFECT OF INTEREST RATE VOLATILITY ON SOVEREIGN BOND YIELDS OF INDIA

Shariq Ahmad Bhat, Fahad, P.

By : Laxmi Book Publication

Abstract :

In this paper we tried to elicit the effect of interest rate volatility on Sovereign Bond Yields of India. We found that interest rate volatility is positively correlated related with sovereign bond yields and it is also found that effect of volatility decreases

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References :

1. Bradley, M. G. and Lumpkin, S. A. (1992) the treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449±63.
2. Bradley, M. G. and Lumpkin, S. A. (1992) the treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449±63.
3. Chen, L., Lesmond, D., Wei, J., 2007. Corporate yield spreads and bond liquidity. J. Financ. 62, 119–149.
4. Cox, J., Ingersoll, J., Ross, S., 1985. A theory of the term structure of interest rates. Econometrica 53, 385–407.
5. Black, F., Karasinski, P., 1991. Bond and option pricing when short rates are lognormal. Financ. Anal. J. 47, 52–59.
6. Bao, J., Pan, J., Wang, J., 2011. The illiquidity of corporate bonds. J. Financ. 66, 911–946.
7. Acharya, V., Carpenter, J., 2002. Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy. Rev. Financ. Stud. 15, 1355-1383.
8. Chen, L., Lesmond, D., Wei, J., 2007. Corporate yield spreads and bond liquidity. J. Financ. 62, 119–149.
9. Cox, J., Ingersoll, J., Ross, S., 1985. A theory of the term structure of interest rates. Econometrica 53, 385–407.
10. Black, F., Karasinski, P., 1991. Bond and option pricing when short rates are lognormal. Financ. Anal. J. 47, 52–59.
11. Bao, J., Pan, J., Wang, J., 2011. The illiquidity of corporate bonds. J. Financ. 66, 911–946.
12. Acharya, V., Carpenter, J., 2002. Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy. Rev. Financ. Stud. 15, 1355-1383.
13. Bradley, M. G. and Lumpkin, S. A. (1992) the treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449±63.
14. Bradley, M. G. and Lumpkin, S. A. (1992) the treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449±63.
15. Chen, L., Lesmond, D., Wei, J., 2007. Corporate yield spreads and bond liquidity. J. Financ. 62, 119–149.
16. Cox, J., Ingersoll, J., Ross, S., 1985. A theory of the term structure of interest rates. Econometrica 53, 385–407.
17. Black, F., Karasinski, P., 1991. Bond and option pricing when short rates are lognormal. Financ. Anal. J. 47, 52–59.
18. Bao, J., Pan, J., Wang, J., 2011. The illiquidity of corporate bonds. J. Financ. 66, 911–946.
19. Acharya, V., Carpenter, J., 2002. Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy. Rev. Financ. Stud. 15, 1355-1383.
20. Bradley, M. G. and Lumpkin, S. A. (1992) the treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449±63.
21. Chen, L., Lesmond, D., Wei, J., 2007. Corporate yield spreads and bond liquidity. J. Financ. 62, 119–149.
22. Cox, J., Ingersoll, J., Ross, S., 1985. A theory of the term structure of interest rates. Econometrica 53, 385–407.
23. Black, F., Karasinski, P., 1991. Bond and option pricing when short rates are lognormal. Financ. Anal. J. 47, 52–59.
24. Bao, J., Pan, J., Wang, J., 2011. The illiquidity of corporate bonds. J. Financ. 66, 911–946.
25. Acharya, V., Carpenter, J., 2002. Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy. Rev. Financ. Stud. 15, 1355-1383.
26. Bradley, M. G. and Lumpkin, S. A. (1992) the treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449±63.

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