Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index

Amir Saadaoui () and Younes Boujelbene ()
Additional contact information
Amir Saadaoui: University of Sfax
Younes Boujelbene: University of Sfax

Acta Universitatis Danubius. OEconomica, 2016, issue 12(2), 194-216

Abstract: In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean and the conditional variance between the Dow Jones stock index and some emerging bond indices. We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission. We examined this transmission using daily returns between July, 30, 2009 and January, 18, 2011 extracted from Datastream. Our results demonstrate that there is a significant transmission of shocks and volatility between the Dow Jones stock index and bond indices of the emerging countries. The results also confirm the idea that the crisis was transmitted from the United States to the emerging countries due to foreign investment made in these countries.

Keywords: volatility transmission; DJ Index; Emerging Bond Index; bivariate GARCH-BEKK. (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3188/3241 (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:dug:actaec:y:2016:i:2:p:194-216

Access Statistics for this article

More articles in Acta Universitatis Danubius. OEconomica from Danubius University of Galati Contact information at EDIRC.
Bibliographic data for series maintained by Daniela Robu ().