Government Bonds Performance in Malaysia

Abstract

This study investigates the impact of government bond facets on their performance and transformation of issuances using multivariate regression model and post hoc comparison in order to utilize the objectives of the study which are to: (i) analyze the performance and transformation of government bonds issuances by Commercial Mortgage Backed-Securities (CMBS), Malaysia Government Securities (MGS), Khazanah bonds and Cagamas bonds; and (ii) link the relationship between bonds yield with government bond facets such as coupon rate, price, and log size of issuances. Secondary data used covers the period of 2002:1 until 2012:12 at a monthly basis with 3303 sample number of observations gathered from the Bank Negara Bond Info Hub and the Rating Agency Malaysia (RAM) for such bond facets. Evidently, results reveal that there is a statistically significant positive (negative) impact of bond yields towards their coupon rate (price and log size of issuances) postulating a robust performance of government bonds returns. Furthermore, there is a significant mean difference among the government and quasi-government bonds issuances with regards to their facets. The fluctuation in yields as a measurement of returns for these bonds as a long-term investment needs to be looked into i n detail based on their facets? changes in ensuring t h a t the transformation execution can be enhanced for sustainable economics in the capital market not only in Malaysia but also in the global market.