دانلود رایگان مقاله انگلیسی روابط بازده سهام و اوراق قرضه و عدم اطمینان بازار سهام: شواهدی از تحلیل موجک - الزویر 2018

Abstract

This paper adopts continuous wavelet analysis to investigate the time variation features of stock-bond return relations across different frequencies from 1988 to 2014. We also examine whether the time variation features of stock-bond return relations can be linked to two dimensions: fundamental economic factors and stock market uncertainty. The empirical results show that the short-term and long-term dependencies between stocks and bonds did vary over time. In addition, the relations between stock and bond returns have positive sign sensitivity to the short rate and the slope of term structure, while their sensitivity to stock market volatility is negative. Moreover, the impact of crises on the long-term stock-bond relation is significantly negative and the impact on short-term relation is significantly positive. Hence, the fundamental economic factors which drive the stock-bond relations do not vary across time frequencies; however, the impacts of crises do vary across the time frequencies. The findings have economic implications to help investors determine their portfolio allocations. Furthermore, policy makers monitor the financial markets and adjust the macroeconomic policies by observing changes in these state variables.

5. Conclusions

The relation between stock and bond returns has been received considerable attention in literature. The stylized fact is that the stock-bond relations have changed dramatically over the last two decades, shifting from sizably positive to predominantly negative in the late 1990s. This study adopts continuous wavelet analysis to investigate the time variation features of stock-bond return relations across different frequencies and examines whether the time-varying stock-bond relations can be linked to two dimensions: macroeconomic factors, and financial market uncertainty. Analyzing the daily U.S. stock and bond returns for the period 1988-2014, we derive several important empirical conclusions.

First, the results of wavelet coherence show that the short-run and long-run dependences between stocks and bonds vary across frequencies over time. The long-term stock-bond returns relation has shifted from sizably positive to predominantly negative in the late 1990s. However, a significant positive coherency is found in the high frequency area, especially in the periods of crisis. Second, we examine whether the time-varying stock-bond return relations is related to two fundamental economic factors: the short rate and slope of term structure. The empirical findings support that the discount rate and the slope of term structure both have positive impacts on the short-term as well as long-term stock-bond relations. These confirm that a positive stock-bond relation exists during the periods of favorable economic conditions. In addition, we investigate the impacts of financial market uncertainty on the time-varying stock and bond return relations. The evidence indicates that the implied volatility index has negative impact on the time-varying stock-bond relations at the daily, weekly, quarterly, and annual frequency.