News implied volatility and the stock-bond nexus : evidence from historical data for the USA and the UK markets
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Kollias, Christos | |
| dc.contributor.author | Papadamou, Stephanos | |
| dc.contributor.author | Wohar, Mark E. | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2018-10-08T05:29:33Z | |
| dc.date.issued | 2018-09 | |
| dc.description.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) affect differently USA and UK returns, variances and covariance. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2020-09-10 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/econbase | en_ZA |
| dc.identifier.citation | Gupta, R., Kollias, C., Papadamou, S. et al. 2018, 'News implied volatility and the stock-bond nexus : evidence from historical data for the USA and the UK markets', Journal of Multinational Financial Management, NYP. | en_ZA |
| dc.identifier.issn | 1042-444X | |
| dc.identifier.other | 10.1016/j.mulfin.2018.08.001 | |
| dc.identifier.uri | http://hdl.handle.net/2263/66771 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of Multinational Financial Management. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of Multinational Financial Management , vol. , no. , pp. , 2018. doi : 10.1016/j.mulfin.2018.08.001. | en_ZA |
| dc.subject | News implied volatility index (NVIX) | en_ZA |
| dc.subject | Stock-bond covariance | en_ZA |
| dc.subject | GARCH models | en_ZA |
| dc.subject | Generalised autoregressive conditional heteroskedasticity (GARCH) | en_ZA |
| dc.title | News implied volatility and the stock-bond nexus : evidence from historical data for the USA and the UK markets | en_ZA |
| dc.type | Postprint Article | en_ZA |