Rodyti trumpą aprašą

dc.rights.licenseKūrybinių bendrijų licencija / Creative Commons licenceen_US
dc.contributor.authorGanchev, Alexander
dc.date.accessioned2024-04-18T10:36:35Z
dc.date.available2024-04-18T10:36:35Z
dc.date.issued2023
dc.date.submitted2023-02-26
dc.identifier.isbn9786094763335en_US
dc.identifier.issn2029-4441en_US
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/154021
dc.description.abstractThe aim of the study is to investigate the behaviour of the Chinese government bond yield curve before and during the COVID-19 pandemic. Its methodology comprises the techniques of time series analysis, correlation analysis and dimensionality reduction. The main empirical results show that in the pandemic period, the behaviour of the Chinese government bond yield curve differs significantly from that before the outbreak of COVID-19. This is evidenced by the weaker correlations among the analysed yields, the presence of anomalies, heterogeneous behaviour and probable arbitrage opportunities at the long-term end of the studied yield curve, as well as the significant changes in the main factors of its dynamics. The research also reveals that prior to the COVID-19 pandemic, portfolios composed of Chinese government bonds could be well protected against interest rate risk even by using traditional parallel shift immunization techniques. However, after the outbreak of the COVID-19 pandemic the use of such techniques would be relatively effective for portfolios of Chinese government bonds with maturities between 1 and 5 years, while portfolios that include Chinese government bonds with maturities greater than 7 years should be either hedged against all the three factors of the yield curve dynamics or be used only for arbitrage strategies.en_US
dc.format.extent11 p.en_US
dc.format.mediumTekstas / Texten_US
dc.language.isoenen_US
dc.relation.isreferencedbyScopusen_US
dc.relation.urihttps://etalpykla.vilniustech.lt/handle/123456789/153869en_US
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.source.urihttps://bm.vgtu.lt/index.php/verslas/2023/schedConf/presentationsen_US
dc.subjectChinese government bond marketen_US
dc.subjectgovernment bondsen_US
dc.subjectyield curveen_US
dc.subjectCOVID-19en_US
dc.titleThe behaviour of Chinese government bond yield curve before and during the COVID-19 pandemicen_US
dc.typeKonferencijos publikacija / Conference paperen_US
dcterms.accessRightsLaisvai prieinamas / Openly availableen_US
dcterms.accrualMethodRankinis pateikimas / Manual submissionen_US
dcterms.alternativeFinance and investment: new challenges and opportunitiesen_US
dcterms.dateAccepted2023-04-06
dcterms.issued2023
dcterms.licenseCC BYen_US
dcterms.references25en_US
dc.description.versionTaip / Yesen_US
dc.type.pubtypeP1d - Straipsnis recenzuotame konferencijos darbų leidinyje / Paper published in peer-reviewed conference publicationen_US
dc.contributor.orcidhttps://orcid.org/0000-0003-3121-2025, Ganchev Alexander
dc.contributor.institutionDimitar A. Tsenov Academy of Economicsen_US
dcterms.sourcetitle13th International Scientific Conference “Business and Management 2023”en_US
dc.description.volumeIen_US
dc.identifier.eisbn9786094763342en_US
dc.identifier.eissn2029-929Xen_US
dc.publisher.nameVilnius Gediminas Technical Universityen_US
dc.publisher.nameVilniaus Gedimino technikos universitetasen_US
dc.publisher.countryLithuaniaen_US
dc.publisher.countryLietuvaen_US
dc.publisher.cityVilniusen_US
dc.date.firstonline2023-06-08
dc.identifier.doihttps://doi.org/10.3846/bm.2023.1008en_US


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Rodyti trumpą aprašą

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