Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/29416
Type: | Journal article |
Title: | Volatility transmissions between stock and bond markets: Evidence from Japan and the U.S. |
Author: | Fang, V. Lim, Y. Lin, C. |
Citation: | International Journal of Information Technology, 2006; 12(6):120-128 |
Publisher: | International Academy of Sciences |
Issue Date: | 2006 |
ISSN: | 1305-239X 0218-7957 |
Statement of Responsibility: | Victor Fang, Yee-Choon Lim, and Chien-Ting Lin |
Abstract: | This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK (Baba, Engle, Kraft and Kroner, 1990) method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the long-run phenomena of causality in conditional variances of paired assets within the local and international markets. Within various pairings, some evidence of bi-directional volatility transmissions such as informational linkages have been observed. Our empirical results suggest that within the domestic cross markets, the volatility transmission is unidirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant directional volatility transmissions between DJI index and FTSE100 index, and between DJI index and DAX200 index. The volatility transmission between these two markets indicates that the international diversification of bonds is not prevalent. |
Keywords: | Comovement Volatility Transmissions Idiosyncratic Conditional Varaince GARCH(1,1) |
Rights: | © Singapore Computer Society |
Description (link): | http://www.intjit.org/journal/volume/12/6/index.html |
Published version: | http://www.intjit.org/journal/download/down.php?file=/12/6/126_15.pdf |
Appears in Collections: | Aurora harvest 2 Business School publications |
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