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Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets

Author

Listed:
  • Amir Saadaoui

    (University of Sfax, Faculty of Economics and Management, Tunisia)

  • Younes Boujelbene

    (Faculty of Economics and Management, Tunisia)

Abstract

This paper investigates the transmission of market volatility between the emerging stock and bond markets. In order 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.

Suggested Citation

  • Amir Saadaoui & Younes Boujelbene, 2014. "Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 6(6), pages 84-98, December.
    • Handle: RePEc:dug:actaec:y:2014:i:6:p:84-98
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