Scaling the volatility of credit spreads: evidence from Australian dollar eurobonds

The linear rescaling of the variance of an asset's return is used by many asset pricing models when an annualised risk coefficient is required. However, this approach may not be appropriate for time series, which are not independent and identically distributed (IID). This paper investigates the scaling relationships for daily credit spreads, from January 1995 to May 1998, between AAA-, AA-, and A-rated Australian dollar denominated Eurobonds with maturities of 2, 5, 7, and 10 years. The credit spread return all display similar scaling properties with the estimated standard deviation, based upon a scaling at the square root of time, significantly underestimating the actual level of risk predicted from a normal distribution. These results have implications for risk managers and trading of credit spread instruments.

Civilisation, culture and the hybrid self in the work of Robert Ezra Park

Contemporary discussions on hybridity in cultural and ethnic studies have overlooked the work of the Chicago sociologist Robert E. Park. Park's idea of the “marginal man” and his work on cultural and racial hybridity can shed further light on the construction and representation of the hybrid self. The contribution that Park has made to a social theory of hybridity has been overshadowed by research conducted within post-colonial and cultural studies. I do not suggest that recent conceptualisations of hybridity are inadequate; rather that Park has something to contribute to contemporary accounts and in some cases anticipates some of the themes and issues surrounding the concept of hybridity. The following examination connects Park's work on hybridity with ideas such as civilisation, culture and modernity and argues that a mild form of primitivism underlines his notion of the “marginal man”.

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.