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

• 成果类型: Article; Proceedings Paper
• 署名作者: Fleming, J; Kirby, C; Ostdiek, B
• 署名单位: Rice University; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00019-1
• 发表日期: 1998
• 页码: 111-137
• 关键词: stochastic volatility; common information; information spillover; market linkages

摘要

We investigate the nature of volatility linkages in the stock, bond, and money markets. We develop a simple model of speculative trading that predicts strong volatility linkages in these markets due to common information, which simultaneously affects expectations across markets, and information spillover caused by cross-market hedging. To measure these linkages, we estimate a stochastic volatility representation of our trading model using GMM. The results indicate that our specification explains many of the observed characteristics of the data, and that the volatility linkages between the three markets are indeed strong. Moreover, we find that the linkages have become stronger since the 1987 stock market crash. (C) 1998 Elsevier Science S.A. All rights reserved.