Open AccessBOND MARKET EFFICIENCY AND VOLATILITY: EVIDENCE FROM RUSSIA
Author(s) -
Шади Омран,
Elena Semnkova
Publication year - 2019
Publication title -
humanities and social sciences reviews
Language(s) - English
Resource type - Journals
ISSN - 2395-6518
DOI - 10.18510/hssr.2019.74193
Subject(s) - volatility (finance) , government bond , autoregressive conditional heteroskedasticity , corporate bond , bond , economics , bond market , heteroscedasticity , bond market index , financial economics , index (typography) , econometrics , monetary economics , finance , computer science , world wide web
Purpose of the study: In this paper, we use daily return for the Moscow Exchange Government Bond index (RGBITR) and Moscow Exchange Corporate Bond index (MICEXCBITR) over the period 2013 to 2018.
Methodology: Normality test, unit root test (ADF) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model will be used in this paper.
Results: The empirical results reveal that both government and corporate bond markets in Russia are not weak-form efficient. Furthermore, the volatility is persistent in both bond indices and resembles the same movement in returns. We find also that the GARCH (1,1) model is a good representation of the behavior of daily bond index returns in corporate and government bond markets in Russia.
Applications of this study: This research can be used for the universities, teachers, and students.
Novelty/Originality of this study: In this paper, for the first-time model of bond market efficiency and volatility has been studied.