English, Article edition: Regime Shifts in the StockâBond Relation in Australia Garry Hobbes; Frewen Lam; Geoffrey F. Loudon

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Bookmark: http://trove.nla.gov.au/version/132478
Physical Description
  • article
Language
  • English

Edition details

Title
  • Regime Shifts in the StockâBond Relation in Australia
Author
  • Garry Hobbes
  • Frewen Lam
  • Geoffrey F. Loudon
Physical Description
  • article
Notes
  • Previous evidence suggests that the implied volatility from equity index options, as a measure of stock market uncertainty, can provide "forward-looking information" about the stockâbond return correlation. This paper uses an alternative regime-switching autoregressive model to characterize state-dependent stockâbond return comovement and to evaluate the contribution of implied volatility in understanding transition dynamics. We confirm that implied volatility provides information about transition dynamics which is not inherent in the stock and bond returns, notwithstanding several different features of our data set and methodological approach.
  • Asset pricing, regime-switching, volatility
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:01:p:81-99
Language
  • English
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