Stock Market Uncertainty And The Relation Between Stock And Bond Returns
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Stock Market Uncertainty And The Relation Between Stock And Bond Returns
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Author : Christopher T. Stivers
language : en
Publisher:
Release Date : 2002
Stock Market Uncertainty And The Relation Between Stock And Bond Returns written by Christopher T. Stivers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Bonds categories.
Stock Market Uncertainty And The Stock Bond Return Relation
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Author : Robert A. Connolly
language : en
Publisher:
Release Date : 2012
Stock Market Uncertainty And The Stock Bond Return Relation written by Robert A. Connolly and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market certainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative relation between the uncertainty measures and the future correlation of stock and bond returns. Contemporaneously, we find that bond returns tend to be high (low), relative to stock returns, during days when implied volatility increases (decreases) substantially and during days when stock turnover is unexpectedly high (low). Our findings suggest that stock market uncertainty has important cross-market pricing influences and that stock-bond diversification benefits increase with stock market uncertainty.
Stock Implied Volatility Stock Turnover And The Stock Bond Return Relation
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Author : Chris T. Stivers
language : en
Publisher:
Release Date : 2015
Stock Implied Volatility Stock Turnover And The Stock Bond Return Relation written by Chris T. Stivers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The authors study time-variation in the co-movements between daily stock and Treasury bond returns over 1986 to 2000. Their innovation is to examine whether variation in stock-bond return dynamics can be linked to non-return-based measures of stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover (DTVR). The authors investigate two empirical questions suggested by recent literature on stock market uncertainty and cross-market hedging. First, from a forward-looking perspective, they find that the levels of IV and DTVR are both negatively associated with the future correlation between stock and bond returns. The probability of a negative correlation between daily stock and bond returns over the next month is several times greater following relatively high values of IV and DTVR. Second, from a contemporaneous perspective, the authors find that bond returns tend to be relatively high (low) during days when IV increases (decreases) and during days when stock turnover is unexpectedly high (low). Their findings suggest that stock market uncertainty has cross-market pricing influences that play an important role in understanding joint stock-bond price formation. Further, our results imply that stock-bond diversification benefits increase with stock market uncertainty.
Stock Implied Volatility Stock Turnover And The Stock Bond Return Relation
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Author :
language : en
Publisher:
Release Date : 2002
Stock Implied Volatility Stock Turnover And The Stock Bond Return Relation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
"The authors study time-variation in the co-movements between daily stock and Treasury bond returns over 1986 to 2000. Their innovation is to examine whether variation in stock-bond return dynamics can be linked to non-return-based measures of stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover (DTVR). The authors investigate two empirical questions suggested by recent literature on stock market uncertainty and cross-market hedging. First, from a forward-looking perspective, they find that the levels of IV and DTVR are both negatively associated with the future correlation between stock and bond returns. The probability of a negative correlation between daily stock and bond returns over the next month is several times greater following relatively high values of IV and DTVR. Second, from a contemporaneous perspective, the authors find that bond returns tend to be relatively high (low) during days when IV increases (decreases) and during days when stock turnover is unexpectedly high (low). Their findings suggest that stock market uncertainty has cross-market pricing influences that play an important role in understanding joint stock-bond price formation. Further, our results imply that stock-bond diversification benefits increase with stock market uncertainty. JEL classification: G11, G12, G14"--Federal Reserve Bank of Atlanta web site.
The Dynamic Correlation Between Stock And Bond Returns
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Author : Thomas Chinan Chiang
language : en
Publisher:
Release Date : 2009
The Dynamic Correlation Between Stock And Bond Returns written by Thomas Chinan Chiang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
This paper investigates the correlation of returns between the U.S. stock and bond markets using two prominent index funds. By employing both rolling correlation and dynamic correlation coefficient models for the sample period from 1996 through 2008, we find that the correlation coefficients between stocks and bonds are time-varying and, on average, negative. The correlation coefficients between stock and bond markets depend on a few key macro state variables. The correlation coefficient is negatively correlated with the uncertainty of the stock market's performance but positively related to real income growth and the level of the federal funds rate.
Time Varying Correlations Between Stock And Bond Returns Evidence From Russia
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Author : Kashif Saleem
language : en
Publisher:
Release Date : 2008
Time Varying Correlations Between Stock And Bond Returns Evidence From Russia written by Kashif Saleem and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We start our investigation by applying Bollerslev (1990) Constant conditional correlation model to test whether varying correlations are statistically significant then we use DCC-GARCH (1, 1) model proposed by Engle (2002) to analyze the dynamics of conditional correlations between the two assets. Finally, to investigate the asymmetries in conditional variances, covariances, and correlations, we adopt an asymmetric version of the Dynamic Conditional Correlation (ADCC) model proposed by Engle et al. (2006). Our empirical results do not support the assumption of constant conditional correlation and we found clear evidence of time varying correlations between Russian stocks and bond market. Our results offers a batter understanding for the dynamics of the correlations between stocks and bonds in an emerging market setting which is obviously very valuable for the portfolio managers, international investors, risk analysts and financial researchers as well as for the policy implications.
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics
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Author : Seungho Jung
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics written by Seungho Jung and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-22 with Business & Economics categories.
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Interrelation And Spillover Effects Between Stocks And Bonds
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Author : David G. McMillan
language : en
Publisher:
Release Date : 2019
Interrelation And Spillover Effects Between Stocks And Bonds written by David G. McMillan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper examines the behaviour of stock and bond markets across four major international countries. The results confirm the view that same asset-cross country return correlations and spillovers increase over time. However, the same in not true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial amount of time-variation, however, there is no evidence of trending in any direction. Equally, cross asset-same country correlations exhibit both negative and positive values. Further, we report an inverse relation between same asset-cross country return correlations and cross asset-same country return correlations i.e., the stock return correlation across countries increases at the same time the stock and bond return correlation within each country declines. Moreover, results show that the stock and bond return correlations exhibit commonality across countries. Results also demonstrate that stock returns lead movement in bond returns, while US stock and bond returns have predictive power other country stock and bond returns. In terms of the markets analysed, Japan exhibit a distinct nature compared with those of Germany, the UK and the US. The results presented here provide a detailed characterisation of how asset interact both with each other and cross countries and should be of interest to portfolio managers, policy-makers and those interested in modelling cross market behaviour.
International Financial Markets
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Author : Alan L. Tucker
language : en
Publisher:
Release Date : 1991
International Financial Markets written by Alan L. Tucker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Business & Economics categories.
Evaluation Of Joint Density Forecasts Of Stock And Bond Returns
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Author : Francisco Penaranda
language : en
Publisher:
Release Date : 2003
Evaluation Of Joint Density Forecasts Of Stock And Bond Returns written by Francisco Penaranda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Stocks categories.