Idiosyncratic Factors in Pricing Sovereign Bonds: An Analysis of the Government of India Bond Market

Gangadhar Darbha, Sudipta Dutta Roy and Vardhana Pawaskar

Journal of Emerging Market Finance, 2002, vol. 1, issue 2, 157-181

Abstract: Research on term structure estimation and bond pricing in developed countries has established that liquidity premium is an important component of bond prices, and is attributable to security-specific features. The import ance of liquidity premia is expected to be higher in emerging debt markets, which are characterised by illiquidity in large segments on account of various factors. Analysing daily information on secondary market trading in Gov ernment of India bonds, we find that residual maturity, time since issuance, current yield and issue size account for most of the variation in pricing errors off an estimated term structure. Our results highlight the need for explicit modelling of security-specific factors determining liquidity premia and bond pricing in emerging markets.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/097265270200100202 (text/html)

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:sae:emffin:v:1:y:2002:i:2:p:157-181

DOI: 10.1177/097265270200100202

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().