Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets

Amir Saadaoui (amir.saadaoui789@gmail.com) and Younes Boujelbene (younes.boujelbene@fsegs.rnu.tn)
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Amir Saadaoui: University of Sfax
Younes Boujelbene: University of Sfax

Acta Universitatis Danubius. OEconomica, 2014, issue 10(6), 84-98

Abstract: This paper investigates the transmission of market volatility between the emerging stock and bond markets. In order to examine this relation between the bond and stock market, we use the BEKK GARCH model; a decomposition approach of the multivariate GARCH (1, 1) model. The outcome of this study displays a significant relation between bond and stock index and the incidence of the interest rate in this transmission. Besides, there is a transmission of volatility between the bond and stock index demonstrated by the DCC GARCH graph.

Keywords: Volatility transmission; Multivariate GARCH (1, 1) BEKK; Bonds; Stock Market (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:dug:actaec:y:2014:i:6:p:84-98

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