Flight-to-quality and asymmetric volatility responses in US Treasuries
Mardi Dungey (),
Michael McKenzie and
Demosthenes Tambakis ()
Global Finance Journal, 2009, vol. 19, issue 3, 252-267
Flight-to-quality during times of financial crisis is a feature of financial markets. Here, a simple strategic model demonstrates that some preference asymmetry is sufficient to generate endogenous flight-to-quality from an emerging stock market to US Treasury bonds. The empirical evidence from a TARCH model supports the significance of emerging equity market shocks in accounting for the asymmetric properties of US Treasuries across the maturity structure. This effect is found to be more pronounced since the turn of the 21st century.
Keywords: Flight-to-quality; Volatility; Asymmetric; GARCH; Financial; crises; Emerging; markets (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:19:y:2009:i:3:p:252-267
Access Statistics for this article
Global Finance Journal is currently edited by Manuchehr Shahrokhi
More articles in Global Finance Journal from Elsevier
Series data maintained by Dana Niculescu ().