News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets

被引：14

作者：

Gupta, Rangan ^{[1
]}

Kollias, Christos ^{[2
]}

Papadamou, Stephanos ^{[2
]}

Wohar, Mark E. ^{[1
,2
]}

机构：

[1] Univ Pretoria, Dept Econ, Pretoria, South Africa

[2] Univ Thessaly, Dept Econ, Volos, Greece

来源：

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT | 2018年 / 47-48卷

关键词：

NVIX index; Stock-bond covariance; GARCH models; FLIGHT-TO-QUALITY; INTERNATIONAL STOCK; CO-MOVEMENTS; DETERMINANTS; EQUITY; IMPACT; UNCERTAINTY; MEDIA;

D O I：

10.1016/j.mulfin.2018.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying stock-bond covariance, their returns and their variances. The time varying association between the two markets has attracted considerable attention due to its important implications for asset allocation, portfolio selection and risk management. The issue at hand is addressed using a VAR(p)-BEKK-GARCH(1,1)-in-mean model and the results reported herein indicate that different types of news implied volatility as quantified by the NVIX developed by Manela and Moreira (2017) affect differently USA and UK returns, variances and covariance. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：76 / 90

页数：15

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