Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 周颖刚教授 (酒店及旅游管理学院) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jbankfin.2013.10.010 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL
其它资讯
摘要This study examines the joint evolution of risk-neutral stock index and bond yield volatilities by using the Chicago Board Option Exchange S&P500 volatility index (VIX) and the Bank of America Merrill Lynch Treasury Option Volatility Estimate Index (MOVE). I use bivariate regime-switching models to investigate the alternation of "high-risk" and "low-risk" markets, where the high-risk regime is characterized by higher and more volatilities with weaker cross-market linkages. Common information about economic and financial conditions appears to drive VIX and MOVE fluctuations between the two risk regimes. Two-regime specifications also distinguish between information spillover and common information effects. Ignoring regime shifts leads to spurious extreme persistence and incomplete inferences about asymmetric volatility. The findings carry important implications for asset allocation. (C) 2013 Elsevier B.V. All rights reserved.
着者Zhou YG
期刊名称Journal of Banking and Finance
出版年份2014
月份1
日期1
卷号38
出版社Elsevier
页次216 - 228
国际标準期刊号03http://aims.cuhk.edu.hk/converis/portal/Publication/78-4266
电子国际标準期刊号18http://aims.cuhk.edu.hk/converis/portal/Publication/72-63http://aims.cuhk.edu.hk/converis/portal/Publication/72
语言英式英语
关键词Common information; Information spillover; MOVE; Option-implied volatility; Regime switch; VIX
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
