Abstract
In the financial market, many fixed-income analysts focus on trajectories of the hotspots. However, limited attention has been paid to the quantitative and qualitative evolution in a rapidly changing research field of fixed-income securities. This paper identifies intellectual turning points and emerging trends in the fixed-income securities field by using bibliometric methods, visualizing complicated networks including co-keyword networks, journal co-citation networks. Highly cited terms, categories, countries and institutes are detected and discussed. By using all 5915 publications published between 1997 and 2016, recorded in SCI core collection and SSCI in fixed-income securities domain and their references (101911), it can be conducted from this research that 10 top journals in the fixed-income field. The output of this article also shows the pioneer authors, the leading institutes and leading countries and regions, and what’s more, the trend of research in fixed-income securities domain. It could possibly be a valuable source for academics and practitioners working in the field of fixed-income securities.
Similar content being viewed by others
References
Acharya, V. V., Schnabl, P., & Suarez, G. (2010). Securitization without risk transfer. Journal of Financial Economics, 107(3), 515–536.
Ajmi, A. N., Hammoudeh, S., Nguyen, D. K., & Sarafrazi, S. (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests. Journal of International Financial Markets Institutions & Money, 28(2), 213–227.
Alexander, S., Coleman, T. F., & Li, Y. (2006). Minimizing CVaR and VaR for a portfolio of derivatives. Journal of Banking & Finance, 30(2), 583–605. https://doi.org/10.1016/j.jbankfin.2005.04.012.
Aloui, C., Hammoudeh, S., & Hamida, H. B. (2015). Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries. North American Journal of Economics & Finance, 31, 311–329.
Ang, A., Bekaert, G., & Liu, J. (2005). Why stocks may disappoint. Social Science Electronic Publishing, 76(3), 471–508.
Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. Social Science Electronic Publishing, 63(3), 443–494.
Arora, N., Gandhi, P., & Longstaff, F. A. (2012). Counterparty credit risk and the credit default swap market. Journal of Financial Economics, 103(2), 280–293.
Bakshi, G., & Madan, D. (2000). Spanning and derivative-security valuation. Journal of Financial Economics, 55(2), 205–238. https://doi.org/10.1016/S0304-405X(99)00050-1.
Barone-Adesi, G., & Giannopoulos, K. (1999). VaR without correlations for portfolios of derivative securities. Journal of Futures Markets, 19(5), 583–602.
Black, F. (1995). Interest rates as options. Journal of Finance, 50(5), 1371–1376.
Black, F., & Cox, J. C. (1976). Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance, 31(2), 351–367.
Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654.
Boginski, V., Butenko, S., & Pardalos, P. M. (2006). Mining market data: A network approach. Computers & Operations Research, 33(11), 3171–3184.
Brandes, U. (2001). A faster algorithm for betweenness centrality. Journal of Mathematical Sociology, 25(2), 163–177.
Campbell, J. Y., & Ammer, J. (2012). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance, 48(1), 3–37.
Campbell, J. Y., & Cocco, J. F. (2003). Household risk management and optimal mortgage choice. Quarterly Journal of Economics, 118(4), 1449–1494.
Campbell, J. Y., & Cochrane, J. H. (1999). By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy, 107(2), 205–251.
Casamatta, C. (2003). Financing and advising: Optimal financial contracts with venture capitalists. Journal of Finance, 58(5), 2059–2085.
Chen, C. (2004). CiteSpace: Visualizing patterns and trends in scientific literature. http://cluster.cis.drexel.edu/~cchen/citespace/.
Chen, C. (2014). The CiteSpace manual. http://cluster.ischool.drexel.edu/*cchen/citespace/CiteSpaceManual.pdf.
Chen, C. (2017). Science mapping: A systematic review of the literature. Journal of Data and Information Science, 2(2), 1–40.
Chen, C., Chen, Y., Horowitz, M., Hou, H., Liu, Z., & Pellegrino, D. (2009). Towards an explanatory and computational theory of scientific discovery. Journal of Informetrics, 3(3), 191–209.
Chen, C., Song, I. Y., Yuan, X., & Zhang, J. (2008). The thematic and citation landscape of Data and Knowledge Engineering (1985–2007). Data & Knowledge Engineering, 67(2), 234–259.
Chen, K., & Guan, J. (2011). A bibliometric investigation of research performance in emerging nanobiopharmaceuticals. Journal of Informetrics, 5(2), 233–247.
Chen, T., & Qin, X. (2008). A review: Research of pricing models for CDO. Chinese Journal of Management, 5(4), 616–624.
Cont, R. (2006). Model uncertainty and its impact on the pricing of derivative instruments. Mathematical Finance, 16(3), 519–547.
Costa, D. F., Carvalho, F. D. M., Moreira, B. C. D. M., & Prado, J. W. D. (2017). Bibliometric analysis on the association between behavioral finance and decision making with cognitive biases such as overconfidence, anchoring effect and confirmation bias. Scientometrics, 111(3), 1775–1799.
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385–407.
Demirgüç-Kunt, A., & Huizinga, H. (2010). Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads. Journal of Banking & Finance, 37(3), 875–894.
Detemple, J. (2014). Portfolio selection: A review. Journal of Optimization Theory and Applications, 161(1), 1–21.
Dou, Y., & Gallagher, D. R. (2013). Dissecting anomalies in the australian stock market. Australian Journal of Management, 38(2), 353–373.
Duffie, D., & Kan, R. (2010). A yield-factor model of interest rates. Mathematical Finance, 6(4), 379–406.
Duffie, D., Pan, J., & Singleton, K. (2000). Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 68(6), 1343–1376.
Duffie, D., & Singleton, K. J. (1999). Modeling term structures of defaultable bonds. Review of Financial Studies, 12(4), 687–720.
Eck, N. J. V., & Waltman, L. (2014). Visualizing bibliometric networks. Measuring scholarly impact. Springer International Publishing.
Eichengreen, B., Mody, A., Nedeljkovic, M., & Sarno, L. (2012). How the subprime crisis went global: Evidence from bank credit default swap spreads. Journal of International Money & Finance, 31(5), 1299–1318.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383–417.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds ☆. Journal of Financial Economics, 33(1), 3–56.
Fan, J. (2005). A selective overview of nonparametric methods in financial econometrics. Statistical Science, 20(4), 317–337.
Fantazzini, D., & Frolova, E. A. (2012). Credit default swaps and cds-bond basis with russian companies: A review and an analysis of the effects of the short selling ban during the second great contraction (кpeдитныe cвoпы и бaзиc мeждy кpeдитными cвoпaми. Social Science Electronic Publishing, 25, 3–24.
Fong, K., Gallagher, D. R., & Lee, A. D. (2014). Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data. Accounting & Finance, 48(5), 761–781.
Guidolin, M., & Rinaldi, F. (2013). Ambiguity in asset pricing and portfolio choice: A review of the literature. Theory and Decision, 74(2), 183–217.
Hackbarth, D., Miao, J., & Morellec, E. (2006). Capital structure, credit risk, and macroeconomic conditions. Journal of Financial Economics, 82(3), 519–550.
Hammoudeh, S., & Mcaleer, M. (2013). Risk management and financial derivatives: an overview. North American Journal of Economics & Finance, 25(2), 109–115.
Hammoudeh, S., Mensi, W., Reboredo, J. C., & Nguyen, D. K. (2014). Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors. Pacific-Basin Finance Journal, 30, 189–206.
Kenourgios, D., Naifar, N., & Dimitriou, D. (2016). Islamic financial markets and global crises: Contagion or decoupling? Economic Modelling, 57, 36–46.
Kessler, M. M. (1963). Bibliographic coupling between scientific papers. Journal of the Association for Information Science & Technology, 14(1), 10–25.
Kleinberg, J. (2002). Bursty and hierarchical structure in streams. In Proceedings of the Eighth ACM SIGKDD international conference on knowledge discovery and data mining (Vol. 7, pp. 91–101). ACM.
Kolm, P. N., Tütüncü, R., & Fabozzi, F. J. (2014). 60 Years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234(2), 356–371.
Krauss, C. (2017). Statistical arbitrage pairs trading strategies: Review and outlook. Journal of Economic Surveys, 31(2), 513.
Kunwar, R., Yang, Z., Lai, J., & Cline, J. (2014). Review, theory and implementation of convertible bonds for commercial investment. Journal of Risk Model Validation, 8(2), 39–57.
Longstaff, F. A., Mithal, S., & Neis, E. (2004). Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. Nber Working Papers, 60(5), 2213–2253.
Longstaff, F. A., & Schwartz, E. S. (2001). Valuing american options by simulation: A simple least-squares approach. Review of Financial Studies, 14(1), 113–147.
Maasoumi, E., & McAleer, M. (2008). Realized volatility and long memory: An overview. Econometric Reviews, 27(1–3), 1–9.
Mansourfar, G., Mohamad, S., & Hassan, T. (2010). A review on international portfolio diversification: The Middle East and North African region. African Journal of Business Management, 4(19), 4167–4173.
Markose, S., Giansante, S., & Shaghaghi, A. R. (2012). ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk ☆. Journal of Economic Behavior & Organization, 83(3), 627–646.
Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics, 4(1), 141–183.
Najmi, A., Rashidi, T. H., Abbasi, A., & Waller, S. T. (2017). Reviewing the transport domain: an evolutionary bibliometrics and network analysis. Scientometrics, 110(2), 1–23.
Newman, M. E. J. (2003). The structure and function of complex networks. Siam Review, 45(2), 167–256.
Petersen, M. A. (2005). Estimating standard errors in finance panel data sets: Comparing approaches. Nber Working Papers, 22(1), 435–480.
Pfister, T., Utz, S., & Wimmer, M. (2015). Capital allocation in credit portfolios in a multi-period setting: a literature review and practical guidelines. Review of Managerial Science, 9(1), 1–32.
Prado, J. W. D., Alcântara, V. D. C., Carvalho, F. D. M., Vieira, K. C., Machado, L. K. C., & Tonelli, D. F. (2016). Multivariate analysis of credit risk and bankruptcy research data: a bibliometric study involving different knowledge fields (1968–2014). Scientometrics, 106(3), 1007–1029.
Rebonato, R. (2004). Review paper. Interest-rate term-structure pricing models: A review. Proceedings Mathematical Physical & Engineering Sciences, 460(2043), 667–728.
Sánchez-Riofrío, A. M., Guerras-Martín, L. Á., & Forcadell, F. J. (2015). Business portfolio restructuring: a comprehensive bibliometric review. Scientometrics, 102(3), 1–30.
Sundaresan, S. M. (2000). Continuous-time methods in finance: A review and an assessment. Journal of Finance, 55(4), 1569–1622.
Tortelli, R., Ruggieri, M., Cortese, R., D’Errico, E., Capozzo, R., Leo, A., et al. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229–263.
Useche Arévalo, A. J. (2015). Construcción de portafolios de inversión desde las finanzas del comportamiento: una revisión crítica. Cuadernos de Administración, 28, 11–43.
Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial & Quantitative Analysis, 12(4), 627.
Acknowledgements
We thank for anonymous referees’ suggestions and the financial support by National Natural Science Foundation of China (Nos. 71103179 and 1121403) and Youth Innovation Promotion Association of CAS (Grant No. 2015359) and the Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS. We also thank for the help offered by Vladimir Korotkov, who gave this paper a lot of revised opinion.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Yan, Y., Liao, Z. & Chen, X. Fixed-income securities: bibliometric review with network analysis. Scientometrics 116, 1615–1640 (2018). https://doi.org/10.1007/s11192-018-2800-0
Received:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s11192-018-2800-0