The Ukrainian Eurobond market will become a critically important source for raising funds in the post-war years. This requires a quantitative analytical study of the factors affecting this market, but such studies are practically non-existent today. The aim of the article is to design the periodization of the Ukrainian Eurobond market, reveal the regularities of its functioning and analyze the interrelation of the risk and return. There is an hypothesis, as: Eurobond return rate can be positively correlated with the systematic risk. Five main stages of development of the Ukrainian Eurobond market (including corporate issues) were found. The main factors were analyzed that influenced the volumes and the coupon rate at the placement of the 2001–2021 issues at each of the first four stages of market development. It is shown that the distribution of issuers of corporate Eurobonds by the total volume of issues is a classic distribution with the "fat tail" and the reason for this distribution were shown. Regression analysis methods were used to analyze the relationship between sovereign risk of Ukraine and coupon rate at the placement of the corporate Ukrainian Eurobonds. Two market "anomalous" in the Ukrainian Eurobond market were found out: periods with exceeding of average coupon rate at the placement of the government Ukrainian Eurobonds over the same rate of the corporate Ukrainian Eurobonds; decreesing of the sovereign risk statistically accompanied with increasing of the average coupon rate at the placement of the corporate Ukrainian Eurobonds. The first "anomaly" explained by the increased optimism of investors in the late 10s and early 20s. The second "anomaly" associated with the rapid expansion of the market and the attraction of relatively risky corporate issues. Using the example of "Vodafone Ukraine" Eurobonds, the influence was analyzed of the introduction of martial law and restructuring events on prices and yield to maturity of the Ukrainian corporate Eurobonds in 2021–2023 years.
Read full abstract