The equilibrium relations between stock index and bond index: evidence from Bursa Malaysia

Ali Ahmed, Huson Joher 2009, The equilibrium relations between stock index and bond index: evidence from Bursa Malaysia, International research journal of finance and economics, vol. 30, pp. 7-17.

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Title The equilibrium relations between stock index and bond index: evidence from Bursa Malaysia
Author(s) Ali Ahmed, Huson Joher
Journal name International research journal of finance and economics
Volume number 30
Start page 7
End page 17
Total pages 11
Publisher European Journals
Place of publication [London, England]
Publication date 2009-08
ISSN 1450-2887
Keyword(s) Stock-bond
correlation
co-integration
VECM
GARCH
Summary This paper aims at examining the correlation structure, co-integration relationship and volatility linkage between stock and bond market indices over a period from January 1994 to June 2004. This study uses Johansen Cointegratoin test, VECM-X model and GARCH (1,1) with MDH model to examine the existence of long-term relation and volatility linkage between stock and bond market. The findings shed some light on the existence of mean-reverting pattern of correlation across different economic environments.  Findings on co-movement of stock and bond indices suggest an equilibrium relationship with short-term error correction. While evidence from volatility linkage also suggests that bond market cannot provide a meaningful explanation for conditional volatility in stock market, therefore, rejecting the mixture of distribution hypothesis.
Language eng
Field of Research 140305 Time-Series Analysis
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2009
Copyright notice ©2009, EuroJournals Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30016738

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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