Abstract—Even though the Ghanaian government bonds are listed and traded on the e-bond trading platform of the Ghana Fixed Income Market, the secondary bond market of Ghana is still underdeveloped and illiquid. Due to the underdeveloped and illiquid nature of the market, and the accompanying problem of non-availability of enough bond and yield data, the only source of data relied upon for yield curve fitting in Ghana is the primary bond market. Meanwhile, the primary market yield curve has low frequency because it is produced weekly. Furthermore, movement in the primary curve is localized at the short ends. The long ends of the curve remain static for months or even years. This does not help reveal the underlying dynamics of bond yield or bond interest rate in Ghana. Despite the fact that there is scarcity of daily frequency data due to the illiquid and underdeveloped nature of the market, we believe that with appropriate methodology, a practically useful daily frequency yield curve can be produced. This paper seeks to fit the secondary market daily frequency zero-coupon yield curve for the Government bonds traded on the e-bond trading platform, using the piecewise cubic Hermite interpolation. Data is obtained from the Central Securities Depository of Ghana. The results show yield curves which have daily frequency; and reveal the true yield dynamics prevailing in the secondary bond market. The yield curves also show the underlying bond market interest rates resulting from free market operations among market participants, devoid of direct involvement of the central bank.

Index Terms—E-bond trading platform, Ghana fixed income market, daily zero-coupon yield curve, primary market yield curve.

Victor Curtis Lartey is with School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, P. R. China, 611731. He is also with Center for West African Studies, University of Electronic Science and Technology of China, Chengdu, P.R. China, 611731 and Faculty of Business and Management Studies, Koforidua Technical University, P. O. Box 981, Koforidua, Ghana (email: viclartey@yahoo.com).
Yao Li is with School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, P. R. China, 611731. She is also with Center for West African Studies, University of Electronic Science and Technology of China, Chengdu, P.R. China, 611731.

Cite: Victor Curtis Lartey, Yao Li, "Daily Frequency Zero-Coupon Yield Curve for Government Bonds Traded on e-Bond Trading Platform of the Ghana Fixed Income Market," International Journal of e-Education, e-Business, e-Management and e-Learning vol. 9, no. 4, pp. 306-315, 2019.