... and Nayak, 2012 ; Wang and Wu, 2015) [1] . 18 05 2022 21 10 2022 31 03 2023 23 05 2023 © Emerald Publishing Limited 2023 Emerald Publishing Limited Licensed re-use rights only Term structure Liquidity risk spillover Sovereign bonds Macroeconomic factors Term...

... common factors. Findings The authors find that global influences are the most important drivers of returns and that industrial sectors are highly integrated with the global economy. The authors show that specifications that comprise only macroeconomic factors and proxies for omitted factors...