Manuscript_NO-Authors-REVISED.pdf (1.04 MB)
Download fileNews implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
journal contribution
posted on 2018-11-02, 11:29 authored by Rangan Gupta, Christos Kollias, Stephanos Papadamou, Mark WoharUsing 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 ManagementVolume
47-48Pages
76-90Citation
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
© ElsevierVersion
- 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.2018.08.001Acceptance date
2018-08-31Publication date
2018-09-10Copyright date
2018ISSN
1042-444XPublisher version
Language
- en