The equilibrium relations between stock index and bond index: evidence from Bursa Malaysia
Data(s) |
01/08/2009
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Resumo |
This paper aims at examining the correlation structure, co-integration relationship and volatility linkage between stock and bond market indices over a period from January 1994 to June 2004. This study uses Johansen Cointegratoin test, VECM-X model and GARCH (1,1) with MDH model to examine the existence of long-term relation and volatility linkage between stock and bond market. The findings shed some light on the existence of mean-reverting pattern of correlation across different economic environments. Findings on co-movement of stock and bond indices suggest an equilibrium relationship with short-term error correction. While evidence from volatility linkage also suggests that bond market cannot provide a meaningful explanation for conditional volatility in stock market, therefore, rejecting the mixture of distribution hypothesis. |
Identificador | |
Idioma(s) |
eng |
Publicador |
European Journals |
Relação |
http://dro.deakin.edu.au/eserv/DU:30016738/Ali-theequilibrium-2009-publishv.pdf http://www.eurojournals.com/irjfe_30_01.pdf |
Direitos |
2009, EuroJournals Publishing |
Palavras-Chave | #Stock-bond #correlation #co-integration #VECM #GARCH |
Tipo |
Journal Article |