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  • 1.
    Ai Jun, Hou
    University of Southern Denmark, Denmark.
    EMU equity markets' return variance and spill over effects from short-term interest rate2013In: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 13, no 3, p. 451-470Article in journal (Refereed)
    Abstract [en]

    This paper examines the spillover effects from the short term interest rates market to equity markets within the Euro area. The empirical study is carried out by estimating an extended Markov Switching GJR in mean model with a Bayesian based Markov Chain Monte Carlo (MCMC) methodology. The result indicates that stock markets in the Euro area display a significant two regimes with distinct characteristics. Within a bear market regime, stock returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to negative shocks of equity returns. The other regime appears to be a bull market regime, within which the returns have a positive relationship with the volatility, and the volatility is lower and more persistent. We find also that there is a significant impact of fluctuations in the short term interest rate on the conditional variance and conditional returns in the EMU countries. Such impact is asymmetrical, and it appears to be stronger in the bear market and when interest rate changes upward.

  • 2.
    Graham, Michael
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business.
    Kiviaho, Jarno
    Nikkinen, Jussi
    Short-term and long-term dependencies of the S&P 500 index and commodity prices2013In: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 13, no 4, p. 583-592Article in journal (Refereed)
    Abstract [en]

    We utilize wavelet coherency methodology with simulated confidence bounds to examine the short-term and long-term dependencies of the returns for S&P 500 and the S&P GSCI® commodity index. Our results indicate no evidence of co-movement between S&P 500 total return and the S&P GSCI® commodity index total return in the short term, thereby suggesting diversification gains for equity investors. Importantly, this finding encompasses the onset of the current financial crisis. However, long-term diversification benefits, particularly after the onset of the recent financial crisis, are limited. We find, moreover, no consistent evidence of co-movements between S&P 500 and 10 individual sub-indexes of the S&P GSCI® commodity index. Of particular importance, we report weak co-movement of returns between S&P 500 and S&P GSCI® Precious Metals total return and S&P 500 and S&P GSCI® Softs at all frequencies, implying significant diversification gains both for short-term and long-term investors.

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