European Monetary Union bond market dynamics: Pre & post crisis

Darko Vuković (), Kseniya A. Lapshina and Moinak Maiti

Research in International Business and Finance, 2019, vol. 50, issue C, 369-380

Abstract: The Sharpe ratio emerges as one of the most popular metrics used in the evaluation of investment performance despite the wide range of alternatives that have been proposed by academics and practitioners. In the proposed research, risks and returns are analysed on the European Monetary Union bonds market, with different bonds ratings and maturities, in the period from 2005 to 2017. The past and current trends and patterns in bond returns are defined using the methods of statistic correlation and econometric analysis. It was shown that the bond returns are not normally distributed, and that the return on distribution depends on bond maturity and the economic situation in the market. The relation between volatility and bond maturity and the Sharpe ratio appeared to be non-linear and inconsistent over time. However, the hypothesis about the inverse relation between the Sharpe ratio and bond maturity is not supported by the evidence. Finally, with the help of time-series models it was proven that in the period from 2005 to 2017, the returns on European Monetary Union bonds market declined over time. ARIMA models were used to analyse the residuals from the bond returns.

Keywords: Sharpe ratio; Risks; Returns; Bond market; European Monetary Union (search for similar items in EconPapers)
JEL-codes: G23 G24 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:50:y:2019:i:c:p:369-380

DOI: 10.1016/j.ribaf.2019.04.001

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