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http://dx.doi.org/10.22156/CS4SMB.2020.10.03.067

Information Flow Effect Between the Stock Market and Bond Market  

Choi, Cha-Soon (Department of Real Estate Studies, Namseoul University)
Publication Information
Journal of Convergence for Information Technology / v.10, no.3, 2020 , pp. 67-75 More about this Journal
Abstract
This paper investigated the information spillover effect between stock market and bond market with the KOSPI daily index and MMF yield data. The overall analysis period is from May 2, 1997 to August 30, 2019. The empirical analysis was conducted by dividing the period from May 2, 1997 to December 30, 2008 before the global financial crisis, and from December 30, 2008 to August 30, 2019 after the global financial crisis, and the overall analysis period. The analysis shows that the EGARCH model considering asymmetric variability is suitable. The price spillover effect and volatility spillover effect existed in both directions between the stock market and the bond market, and the price transfer effect was greater in the period before the global financial crisis than in the period after the global financial crisis. Asymmetric volatility in information between stock and bond markets appears to exist in both markets.
Keywords
Stock; Bond; Price spillover effect; Asymmetric volatility; EGARCH model;
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