Infomation and volatility linkages in the stock, bond, and money markets

Article Abstract:

Common information and cross-market hedging play significant roles in the stock, bond and money markets. Moreover, traders formulate their speculative demands by assessing the correlation of returns in varying markets. To decrease variance among speculative profits, traders also adopt diversification of holdings across markets. This tendency as well as the impact of information events on market expectations yield strong volatility linkages between markets.

Capital Management-Internal Funds NEC, Information Theory, Models, Economic aspects, Information technology, Capital markets, Financial markets, Correlation (Statistics)

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On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach

Article Abstract:

Latent autoregressive (VAR) process is adopted to study the time-series relationship between conditional mean and volatility of returns and evaluate their contemporaneous and intertemporal relationships in a flexible statistical framework. Although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to lead-lag correlation.

United States, Forecasts, trends, outlooks, Computer integrated systems design, Financial Systems & Controls, Financial Management, Analysis, Forecasts and trends, Market trend/market analysis, VAR, VARs (Value added resellers), Stock markets, Stock market, Value-added resellers

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