The Sensitivity of Thailand Corporate Bond Values to Interest Rate Changes

Sasipa Pojanavatee ()
Additional contact information
Sasipa Pojanavatee: Silpakorn University

No 7608689, Proceedings of Business and Management Conferences from International Institute of Social and Economic Sciences

Abstract: The purpose of this study is to examine the volatility of the domestic corporate bond market value to changes in interest rates using duration and convexity techniques. The samples have been divided into two groups both of which have a coupon bond that pays interest semiannually. First, there is a seven-year corporate bond group. Second, there is a ten-year corporate bond group. The findings suggest that all seven-year bonds have the same level of price volatility when interest rates changes. The evidence also suggests that interest rate change effect ten-year corporate bond's price at the same level. This study concludes that, as a measure of a bond?s interest rate risk, seven-year bonds tend to be less volatile when interest rates change in comparison with ten-year bonds. The duration is less than bond?s maturity. The study finds evidence consistent with the typical results reported by previous studies. The price of corporate bonds move in the opposite direction of a change in interest rates, but the percentage change is not the same for all bonds.

Keywords: Duration; Convexity and Thailand (search for similar items in EconPapers)
JEL-codes: G17 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2018-07
New Economics Papers: this item is included in nep-sea
References: Add references at CitEc
Citations:

Published in Proceedings of the Proceedings of the 7th Business & Management Conference, Budapest, Jul 2018, pages 36-46

Downloads: (external link)
https://iises.net/proceedings/7th-business-managem ... =76&iid=003&rid=8689 First version, 2018

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:ibmpro:7608689

Access Statistics for this paper

More papers in Proceedings of Business and Management Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().