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  • 标题:Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets
  • 其他标题:Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets
  • 本地全文:下载
  • 作者:Saadaoui, Amir ; Boujelbene, Younes
  • 期刊名称:Acta Universitatis Danubius. Oeconomica
  • 印刷版ISSN:2065-0175
  • 电子版ISSN:2067-340X
  • 出版年度:2014
  • 卷号:10
  • 期号:6
  • 语种:English
  • 出版社:Danubius University
  • 摘要:This paper attempts to investigate the transmission of market volatility between the emerging stock and bond markets. To examine this relation between the bond and stock market, we use the BEKK GARCH model; a decomposition approach of the multivariate GARCH (1, 1) model. The outcome of this study displays a significant relation between bond and stock index and the incidence of the interest rate in this transmission. Besides, there is a transmission of volatility between the bond and stock index demonstrated by the DCC GARCH graph.
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