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. Attached Files Name Description MIMEType Size Downloads Title The equilibrium relations between stock index and bond index: evidence from Bursa Malaysia Author(s) Ali Ahmed, Huson Joher orcid.org/0000-0002-0186-2564 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 Related Links Link Description Connect to published version Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Tue, 28 Jul 2009, 12:52:06 EST Wed, 29 Jul 2009, 14:18:47 EST Wed, 29 Jul 2009, 14:19:51 EST Tue, 24 Nov 2009, 10:14:33 EST Fri, 02 Jul 2010, 08:43:26 EST Thu, 11 Dec 2014, 16:03:24 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 5 times in Scopus Search Google Scholar Access Statistics: 1293 Abstract Views, 3 File Downloads  -  Detailed Statistics Created: Tue, 28 Jul 2009, 12:52:04 EST by Lee-Ann Stones