Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence

Somya Tyagi and Sikandar Siddiqui

Asian Journal of Economics and Empirical Research, 2017, vol. 4, issue 2, 61-67

Abstract: In this paper, two largely familiar stock market anomalies – the yield curve and the momentum effects - are re-examined for the S&P 500 index by using nonparametric regression. The results essentially confirm the existence of both of these phenomena, but also indicate that the stochastic linkages between the explanatory variables and future index returns are nonlinear and mutually dependent. It hence turns out that the greater flexibility offered by nonparametric regression enables the detection and characterisation of some features of the underlying relationship that would have been gone unnoticed under the linearity and additivity assumptions underlying simpler regression approaches.

Keywords: Stock market; Yield curve effect; Momentum; Nonparametric regression. (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://asianonlinejournals.com/index.php/AJEER/article/view/231/208 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aoj:ajeaer:v:4:y:2017:i:2:p:61-67:id:231

Access Statistics for this article

More articles in Asian Journal of Economics and Empirical Research from Asian Online Journal Publishing Group
Bibliographic data for series maintained by Sara Lim ().