Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index
In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean and the conditional variance between the Dow Jones stock index and some emerging bond indices. We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission. We examined this tra...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Danubius University
2016-04-01
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| Series: | Acta Universitatis Danubius: Oeconomica |
| Subjects: | |
| Online Access: | http://journals.univ-danubius.ro/index.php/oeconomica/article/view/3188/3241 |
| Summary: | In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean
and the conditional variance between the Dow Jones stock index and some emerging bond indices.
We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission.
We examined this transmission using daily returns between July, 30, 2009 and January, 18, 2011
extracted from Datastream. Our results demonstrate that there is a significant transmission of shocks
and volatility between the Dow Jones stock index and bond indices of the emerging countries. The
results also confirm the idea that the crisis was transmitted from the United States to the emerging
countries due to foreign investment made in these countries. |
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| ISSN: | 2065-0175 2067-340X |