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

Author

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  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Christos Kollias

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Stephanos Papadamou

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Mark E. Wohar

    (College of Business Administration, University of Nebraska at Omaha, Omaha, USA and School of Business and Economics, Loughborough University, Leicestershire, UK)

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.

Suggested Citation

  • Rangan Gupta & Christos Kollias & Stephanos Papadamou & Mark E. Wohar, 2017. "News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets," Working Papers 201730, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201730
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    Keywords

    NVIX index; Stock-bond covariance; GARCH models;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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