ยท The Time-Series Behaviour of Credit Spreads 00 Yeo Euroboods <Abstract> Jonathan Batten * Craig Ellis* * VVarren lIogan*** Straight fixed rate Yen denominated the largest market segment after U.S. dollar denominated issues. ve of this is to investigate the time series behaviour and the efficiency of the markets credit spreads between risk and maturity classes of Yen denominated Eurobonds. We fmd that the credit spreads were time-varying and the return series were inefficient though those results may have been due to differences in liquidity between the different credit classes and maturities of bonds implications of these results for credit spread derivatives is * College of Business Administration Seoul National University ** of Economics and Finance, of Westem Sydney ***School of Finance and Economics University of Technology, Sydney