Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Effects of Macroeconomic Uncertainty on the Stock and Bond Markets
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
2015 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 13, 10-16 p.Article in journal (Refereed) Published
Abstract [en]

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high.

Place, publisher, year, edition, pages
2015. Vol. 13, 10-16 p.
Keyword [en]
DCC–MIDAS model, GARCH-MIDAS model, macroeconomic uncertainty index, stock-bond correlation, stock volatility, bond volatility
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-116074DOI: 10.1016/j.frl.2015.03.008ISI: 000355027800002OAI: oai:DiVA.org:su-116074DiVA: diva2:802194
Available from: 2015-04-11 Created: 2015-04-11 Last updated: 2017-12-04Bibliographically approved

Open Access in DiVA

fulltext(259 kB)180 downloads
File information
File name FULLTEXT01.pdfFile size 259 kBChecksum SHA-512
86c696a2a6f857adb06c75572981527c64c268f5c6ffdf9890c3d3ddd1a4ab28b098e1b5cc94f4fcecc872ab29a8928976c73a102cc67007022a3a981c301de8
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Search in DiVA

By author/editor
Hou, Ai Jun
By organisation
Finance
In the same journal
Finance Research Letters
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 180 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 480 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf