An Empirical Investigation of Eastern European Bond Markets

Jinghua Wang, John Bilson

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


We examine the value of Eastern European emerging bond markets to global fixed income managers. In an environment where bonds from traditional developed markets are offering modest yields, emerging market bonds with attractive yields are becoming more popular with institutional managers. Furthermore, the returns on these bonds exhibit low correlations with traditional fixed income investments and thus offer opportunities for portfolio diversification. We develop a multifactor forecasting model and estimate its parameters using a dynamic Kalman filter procedure. The forecasts are then used to construct optimal mean–variance portfolios with and without emerging market bonds. We find that the portfolios that include emerging market bonds have significantly higher Sharpe ratios.

Original languageEnglish (US)
Pages (from-to)199-212
Number of pages14
JournalEmerging Markets Finance and Trade
Issue number1
StatePublished - Jan 2 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • General Economics, Econometrics and Finance
  • Finance


  • Eastern European emerging market (EEEM)
  • Kalman filter
  • bond portfolio


Dive into the research topics of 'An Empirical Investigation of Eastern European Bond Markets'. Together they form a unique fingerprint.

Cite this