Change search
ReferencesLink to record
Permanent link

Direct link
Effects of Macroeconomic Uncertainty on the Stock and Bond Markets
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
2015 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 13, 10-16 p.Article in journal (Refereed) Published
Abstract [en]

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic uncertainty is high.

Place, publisher, year, edition, pages
2015. Vol. 13, 10-16 p.
Keyword [en]
DCC–MIDAS model, GARCH-MIDAS model, macroeconomic uncertainty index, stock-bond correlation, stock volatility, bond volatility
National Category
Business Administration
URN: urn:nbn:se:su:diva-116074DOI: 10.1016/ 000355027800002OAI: diva2:802194
Available from: 2015-04-11 Created: 2015-04-11 Last updated: 2015-10-29Bibliographically approved

Open Access in DiVA

fulltext(259 kB)68 downloads
File information
File name FULLTEXT01.pdfFile size 259 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Search in DiVA

By author/editor
Hou, Ai Jun
By organisation
In the same journal
Finance Research Letters
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 68 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 283 hits
ReferencesLink to record
Permanent link

Direct link