Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation

Zoran Ivanovski, Toni Draganov Stojanovski and Nadica Ivanovska

Papers from arXiv.org

Abstract: This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuation models fit in case of T- Bonds that are traded on MSE and to verify whether they offer reliable results compared with average bonds prices on MSE. We test the sensitivity of T- Bonds on MSE on interest rate changes and determine that convexity is more accurate measure as approximation of bond prices changes than duration. Final conclusion is that T-Bonds traded at MSE are not sensitive on interest rate changes due to institutional investors' permanent higher demand and at the same time market limited offer of risk-free instruments.

Date: 2012-06
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1206.6998 Latest version (application/pdf)

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:arx:papers:1206.6998

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().