Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence
This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod-from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating...
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| Format: | Article |
| Language: | English |
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Tomas Bata University in Zlín
2015-09-01
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| Series: | Journal of Competitiveness |
| Subjects: | |
| Online Access: | http://www.cjournal.cz/files/201.pdf |
| _version_ | 1818764852475199488 |
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| author | Vychytilova Jana |
| author_facet | Vychytilova Jana |
| author_sort | Vychytilova Jana |
| collection | DOAJ |
| description | This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod-from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating relations between selected well-known market indices- U.S. treasury bond yields- the 30-year treasury yield index (TYX) and the 10-year treasury yield (TNX); commodity futures the TR/J CRB; and implied volatility of S&P 500 index- the VIX. We estimate relative logarithmic returns by using monthly close prices adjusted for dividends and splits and run normality and correlation analyses. This paper indicates that the TR/J CRB can be adequately modeled by a normal distribution, whereas the rest of benchmarks do not come from a normal distribution.
This paper, inter alia, points out some evidence of a statistically significant negative relationship between bond yields and the VIX in the past fifteen years and a statistically significant negative
linkage between the TR/J CRB and the VIX since 2009. In rather general terms, this paper thereafter supports the a priori idea- financial markets are interconnected. Such knowledge can
be beneficial for building and testing accurate financial market models, and particularly for the understanding and recognizing market cycles. |
| first_indexed | 2024-12-18T08:08:47Z |
| format | Article |
| id | doaj.art-37fd0ff24d744dd596b6ca2144fde647 |
| institution | Directory Open Access Journal |
| issn | 1804-171X 1804-1728 |
| language | English |
| last_indexed | 2024-12-18T08:08:47Z |
| publishDate | 2015-09-01 |
| publisher | Tomas Bata University in Zlín |
| record_format | Article |
| series | Journal of Competitiveness |
| spelling | doaj.art-37fd0ff24d744dd596b6ca2144fde6472022-12-21T21:14:56ZengTomas Bata University in ZlínJournal of Competitiveness1804-171X1804-17282015-09-017314315810.7441/joc.2015.03.10Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric EvidenceVychytilova Jana0Tomas Bata University in ZlinThis paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod-from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating relations between selected well-known market indices- U.S. treasury bond yields- the 30-year treasury yield index (TYX) and the 10-year treasury yield (TNX); commodity futures the TR/J CRB; and implied volatility of S&P 500 index- the VIX. We estimate relative logarithmic returns by using monthly close prices adjusted for dividends and splits and run normality and correlation analyses. This paper indicates that the TR/J CRB can be adequately modeled by a normal distribution, whereas the rest of benchmarks do not come from a normal distribution. This paper, inter alia, points out some evidence of a statistically significant negative relationship between bond yields and the VIX in the past fifteen years and a statistically significant negative linkage between the TR/J CRB and the VIX since 2009. In rather general terms, this paper thereafter supports the a priori idea- financial markets are interconnected. Such knowledge can be beneficial for building and testing accurate financial market models, and particularly for the understanding and recognizing market cycles.http://www.cjournal.cz/files/201.pdfreturn-volatility relationstockscommoditiesVIXTYX |
| spellingShingle | Vychytilova Jana Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence Journal of Competitiveness return-volatility relation stocks commodities VIX TYX |
| title | Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence |
| title_full | Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence |
| title_fullStr | Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence |
| title_full_unstemmed | Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence |
| title_short | Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence |
| title_sort | linkages among u s treasury bond yields commodity futures and stock market implied volatility new nonparametric evidence |
| topic | return-volatility relation stocks commodities VIX TYX |
| url | http://www.cjournal.cz/files/201.pdf |
| work_keys_str_mv | AT vychytilovajana linkagesamongustreasurybondyieldscommodityfuturesandstockmarketimpliedvolatilitynewnonparametricevidence |