Determinants of High-Yield Bonds on Emerging Markets

Student: Psareva Elizaveta

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2019

The purpose of this work is an empirical study and the determination of the determinants of the yield to maturity of corporate bonds in the domestic market of developing countries. The study covers the period from 2013 to 2017 on the example of 4 developing countries (Argentina, Russia, Kazakhstan and South Africa) with a sample of 114 issues from 36 issuers. We used a multifactor linear model and models with fixed and random effects. The results of the study showed that the variable growth rates of the economy, the volatility of the exchange rate of the national currency against the US dollar, the efficiency of the state and the level of openness of the economy have a significant impact on the pricing of high-yield bonds in emerging capital markets. The analysis revealed that the growth rate of the economy and the efficiency of the state has a negative effect on the yield to maturity, while the exchange rate volatility is positive.

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