Announcement effect on the credit spreads of US dollar Malaysian bonds

We find that international political events have more influence on the changes of bond yield spreads from Malaysian USD issues than domestic events. Significant results are consistent across different issues. The resignation by the former Prime Minister, Dr. Mahathir, however created mix response from the market. Using error correction model, this study also found the monetary policy by Federal Reserve have long term and significant impact on the behaviour of the Malaysian USD issues.<br />