Contents
Introduction
1.1. Objectives

1.2. Contributions to the Literature

1.3. A Brief Review of the Main Conclusions

1.4. Structure of the Book

Literature Review
2.1. The Efficient Market Hypothesis

2.1.1. The Microeconomics Behavioural Theories

2.1.2. Review of the Efficient Market Hypothesis

2.1.3. A Review of the Tests of the Efficient Market Hypothesis

2.1.4. Concluding Review

2.2. The Theory of Behavioural Finance: An Alternative Theory

2.2.1. A Brief Overview of Behavioural Finance Theory

2.2.2. The Overreaction Hypothesis

2.2.3. A Review of the Effects of Rational Bubbles

2.2.4. Concluding Review

2.3. The Review of Economic Policies

2.3.1. The Macroeconomic Arguments Influencing the Monetary Policy

2.3.2. The Macroeconomics Argument Influencing the Fiscal Policy

2.3.3. Concluding Review

2.4. Review of the Models of Volatility

2.4.1. The use of the GARCH Family in the Sovereign Debt Market

2.4.2. The use of the MV-GARCH Family in the Sovereign Debt Market

2.4.3. A Review of the Markov Regime-Switching ARCH Models

2.4.4. Concluding review

Methodology
3.1. Model Specification for the Variance bound test

3.2. Model Specifications for the Univariate GARCH Models

3.3. Model Specifications for Markov Switching ARCH

Empirical Evidence
4.1. Data Definition

4.2. Statistical Analysis and Tests

4.2.1. Analysis of the Price

4.2.2. Test for Normality

4.2.3. Test for Structural Breaks

4.2.4. Variance Ratio Test of the Random Walk Model

4.2.5. Stationarity Tests

4.3. Testing the Sovereign Debt Market for the Efficient Market Hypothesis

4.3.1. Volatility Test of the EMH using GARCH

4.3.2. An Alternative Volatility Test of the EMH using GJR-GARCH

4.3.3. Concluding Review

4.4. The Behaviour of Price Volatility in the Sovereign Debt Market

4.4.1. The GARCH Model of Price Volatility

4.4.2. The EGARCH-m Model of Volatility

4.4.3. The SWARCH Model of Volatility Switching

4.4.4. Concluding Review

Conclusions
5.1. A Review of the Research Objectives

5.2. A Summary ofthe Findings

5.3. A Review of the Limitations

5.4. A Review of Recent Developments

5.5. A Review of Possible Future Research

5.6. Reflective Statement

Appendix

References

Bachar Fakhry

University of Bedfordshire, United Kingdom

Professor Bachar Fakhry was born with a disability effecting his speech and hand movement. Nevertheless, he is currentlyan Assistant Professor of Research at the University of Lahore, School of Accountancy & Finance. He received his PhD in Economics from the University of Bedfordshire in 2015.His research is mainly in the areas of financial economics and econometrics with a special focussed on bounded rationality; conversely, he has authored and co-authored several papers on bounded rationality in the financial market. He, also, has two master degrees in Distributed Information Systems (1996) and Financial Management (2005), both from the University of East London. Previously, he has worked for IBM as a software engineer and Goldman Sachs as a junior economist.