EconPapers    
Economics at your fingertips  
 

News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets

Rangan Gupta (), Christos Kollias, Stephanos Papadamou () and Mark Wohar ()

No 201730, Working Papers from University of Pretoria, Department of Economics

Abstract: Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the time-varying stock–bond covariance, their returns and their variances. The time varying association between the two markets has attracted considerable attention due to its important implications for asset allocation, portfolio selection and risk management. The issue at hand is addressed using a VAR(p)-BEKK-GARCH(1,1)-in-mean model and the results reported herein indicate that different types of news implied volatility as quantified by the NVIX developed by Manela and Moreira (2017) affects differently USA and UK returns, variances and covariance.

Keywords: NVIX index; Stock-bond covariance; GARCH models (search for similar items in EconPapers)
JEL-codes: E44 G10 G15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2017-04
New Economics Papers: this item is included in nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets (2018) Downloads
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:pre:wpaper:201730

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2021-03-07
Handle: RePEc:pre:wpaper:201730