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

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journal contribution
posted on 02.11.2018, 11:29 by Rangan Gupta, Christos Kollias, Stephanos Papadamou, Mark Wohar
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.

History

School

  • Business and Economics

Department

  • Business

Published in

Journal of Multinational Financial Management

Volume

47-48

Pages

76-90

Citation

GUPTA, R. ... et al, 2018. News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. Journal of Multinational Financial Management, 47-48, pp.76-90.

Publisher

© Elsevier

Version

AM (Accepted Manuscript)

Publisher statement

This paper was accepted for publication in the journal Journal of Multinational Financial Management and the definitive published version is available at https://doi.org/10.1016/j.mulfin.2018.08.001

Acceptance date

31/08/2018

Publication date

2018-09-10

Copyright date

2018

ISSN

1042-444X

Language

en