Analýza státních dluhopisů jako indikátoru pro akciový trh

Analysis of Government Bonds as an Indicator for Stock Market

Marika Křepelová and Josef Jablonský

Politická ekonomie, 2013, vol. 2013, issue 5, 605-622

Abstract: The paper analyzes 10-year government bond and stock index of the Czech Republic and the United States in period from January 2002 to February 2012. Main purpose of the paper is to show connection between bond and stock market and verify whether bonds can be taken as stock indicators. A detailed study of fi nancial time series of both countries is performed. Different stages of each financial time series which is called bear, normal and bull state are presented. The conclusion is that all three stages have different means return and they are in accordance with financial theory. For the division of time series into each state Markov-Switching model is used.

Keywords: stock market; bond market; bull and bear state; Markov-Switching model (search for similar items in EconPapers)
JEL-codes: C58 C61 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.18267/j.polek.919

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