Stock Market Uncertainty and the Stock-Bond Return Relation
نویسندگان
چکیده
منابع مشابه
Stock Market Uncertainty and the Relation between Stock and Bond Returns
The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied volatility from equity index options to provide an objective, observable, and dynamic measure of stock market uncertainty. The authors find that stock and bond returns tend to move substantially together during periods of lower stock market unce...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2005
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109000001782