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Linkages among U.S. Treasury bond yields, commodity futures and stock market implied volatility: New nonparametric evidence

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dc.title Linkages among U.S. Treasury bond yields, commodity futures and stock market implied volatility: New nonparametric evidence en
dc.contributor.author Vychytilová, Jana
dc.relation.ispartof Journal of Competitiveness
dc.identifier.issn 1804-1728 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2015
utb.relation.volume 7
utb.relation.issue 3
dc.citation.spage 143
dc.citation.epage 158
dc.type article
dc.language.iso en
dc.publisher Tomas Bata University in Zlín
dc.publisher Univerzita Tomáše Bati ve Zlíně (UTB) cs
dc.identifier.doi 10.7441/joc.2015.03.10
dc.relation.uri https://www.cjournal.cz/index.php?hid=clanek&bid=archiv&cid=201&cp=
dc.subject return-volatility relation en
dc.subject stocks en
dc.subject commodities en
dc.subject VIX en
dc.subject TYX en
dc.description.abstract 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 futuresthe 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. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1007075
utb.identifier.rivid RIV/70883521:28120/15:43873157!RIV16-MSM-28120___
utb.identifier.obdid 43873588
utb.identifier.wok 000416539600010
utb.source j-orig
dc.date.accessioned 2017-07-25T08:54:54Z
dc.date.available 2017-07-25T08:54:54Z
dc.description.sponsorship European Social Fund (ESF); national budget of the Czech Republic [CZ.1.07/2.3.00/20.0147]
dc.rights Attribution 4.0 International
dc.rights.uri http://creativecommons.org/licenses/by/4.0/
dc.rights.access openAccess
utb.contributor.internalauthor Vychytilová, Jana
utb.fulltext.affiliation Ing. Jana Vychytilová, Ph.D Tomas Bata University in Zlin, Faculty of Management and Economics Department of Finance and Accounting Mostní 5139, 760 01 Zlín, Czech Republic janka.vychytilova@gmail.com
utb.fulltext.dates -
utb.fulltext.sponsorship The authors are thankful to the Operational Programme Education for Competitiveness co-funded by the European Social Fund (ESF) and national budget of the Czech Republic for the grant No. CZ.1.07/2.3.00/20.0147 - “Human Resources Development in the field of Measurement and Management of Companies, Clusters and Regions Performance”, which provided financial support for this research.
utb.wos.affiliation [Vychytilova, Jana] Tomas Bata Univ Zlin, Fac Management & Econ, Dept Finance & Accounting, Mostni 5139, Zlin 76001, Czech Republic
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Attribution 4.0 International Except where otherwise noted, this item's license is described as Attribution 4.0 International