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The Determinants of Sovereign Eurobond Spreads: India 1990-1992

In this paper we look at the determinants of Indian eurobond prices over the period 1990-1992. We measure the general market effect of changes in the risk-free term structure and test for the effect of idiosyncratic factors such as ratings, listing exchange, issuer type, lead manager, number of dealers and influential dealer. We find that the most important single factor influencing the change in observed prices of Indian eurobonds over the period was the change in the risk-free term structure. Ratings migrations also seem to play a role. None of the other factors has any significant effect on prices. Our results are also robust in that the significant variables maintain their magnitude and significance through all the tests.