An analysis of fixed income BRICS markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094774" target="_blank" >RIV/61989100:27510/15:86094774 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
An analysis of fixed income BRICS markets
Original language description
In this paper, we examine the performance of the BRICS bond markets, trying to evaluate whether these markets can represent a profitable investment for non-satiable and risk averse investors. First, we analyze the main statistical characteristics of thereturns in each of this markets. Then, we propose an empirical comparison of profitability of investment strategies among the BRICS markets. Specifically, we compare the ex-post sample paths of the wealth, obtained investing in the bond BRICS markets, following the classical theory according to Fisher and Weil immunization theory. Moreover, we also evaluate the portfolio investments based on Inflation-Linked Bonds of these emerging markets.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
6
Pages from-to
905-910
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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