DETERMINANTS OF CORPORATE BOND YIELD: THE CASE OF MALAYSIAN BOND MARKET

  • Norliza Che-Yahya
  • Ruzita Abdul-Rahim
  • Rasidah Mohd-Rashid

Abstract

Default risk has been recognized as one of the key determinants of bond yield. Past studies argue that default risk can be reflected by issue characteristics, issuer characteristics and interest rate behaviors on riskless security. As default risk is believed to be higher in developing markets due to the issue of illiquidity, capital inadequacy and a developing lending system, more empirical works must be focused on these markets. The present study examines the association between selected determinants and corporate bond yield in Malaysian market. Instead of focusing on the aggregate market level as has widely been carried out in previous studies, the present study concentrates on the individual issue level. The results of cross-sectional multiple regression analyses based on 61 observations in 2012 indicate that bond maturity, coupon payment, trading frequency, issuer’s rating, debt to equity ratio and return on equity ratio are the significant determinants of bond yield.
Keywords: Corporate Bond Yield; Malaysian Bond Market.

Published
2017-11-20
How to Cite
Che-Yahya, N., Abdul-Rahim, R., & Mohd-Rashid, R. (2017). DETERMINANTS OF CORPORATE BOND YIELD: THE CASE OF MALAYSIAN BOND MARKET. International Journal of Business and Society, 17(2). https://doi.org/10.33736/ijbs.523.2016