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European Monetary Union bond market dynamics: Pre & post crisis

Author

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  • Vukovic, Darko
  • Lapshina, Kseniya A.
  • Maiti, Moinak

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.

Suggested Citation

  • Vukovic, Darko & Lapshina, Kseniya A. & Maiti, Moinak, 2019. "European Monetary Union bond market dynamics: Pre & post crisis," Research in International Business and Finance, Elsevier, vol. 50(C), pages 369-380.
    • Handle: RePEc:eee:riibaf:v:50:y:2019:i:c:p:369-380
    DOI: 10.1016/j.ribaf.2019.04.001
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    1. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Orlowski, Lucjan T., 2020. "Capital markets integration and economic growth in the European Union," Journal of Policy Modeling, Elsevier, vol. 42(4), pages 893-902.
    3. Darko Vukovic & Moinak Maiti & Zoran Grubisic & Elena M. Grigorieva & Michael Frömmel, 2021. "COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave," Sustainability, MDPI, vol. 13(15), pages 1-17, July.
    4. Vukovic, Darko & Vyklyuk, Yaroslav & Matsiuk, Natalia & Maiti, Moinak, 2020. "Neural network forecasting in prediction Sharpe ratio: Evidence from EU debt market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    5. Darko B. Vukovic & Carlos J. Rincon & Moinak Maiti, 2021. "Price distortions and municipal bonds premiums: evidence from Switzerland," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
    6. Vladislav Spitsin & Marina Ryzhkova & Darko Vukovic & Sergey Anokhin, 2020. "Companies profitability under economic instability: evidence from the manufacturing industry in Russia," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-20, December.
    7. Ionica Oncioiu & Ioana Duca & Mirela Anca Postole & Georgiana Camelia Georgescu (Crețan) & Rodica Gherghina & Robert-Adrian Grecu, 2021. "Transforming the COVID-19 Threat into an Opportunity: The Pandemic as a Stage to the Sustainable Economy," Sustainability, MDPI, vol. 13(4), pages 1-18, February.
    8. Moinak Maiti & Darko Vukovic & Yaroslav Vyklyuk & Zoran Grubisic, 2022. "BRICS Capital Markets Co-Movement Analysis and Forecasting," Risks, MDPI, vol. 10(5), pages 1-13, April.

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    More about this item

    Keywords

    Sharpe ratio; Risks; Returns; Bond market; European Monetary Union;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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