Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation
نویسندگان
چکیده
منابع مشابه
Stock Implied Volatility, Stock Turnover,and the Stock-Bond Return Relation
The authors study time-variation in the co-movements between daily stock and Treasury bond returns over 1986 to 2000. Their innovation is to examine whether variation in stock-bond return dynamics can be linked to non-return-based measures of stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover (DTVR). The authors investigate ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.2491090