Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence

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.

Sustainability Reporting and Value Relevance of Financial Statements

“…This means that the linear regression explains more than 70.0% of the variance in the data. The regression results for model (1), model (2), and model (2a) show that the EPS×SRA coefficient is positive and significant at the 0.01 level. These results indicate that the value relevance of the EPS for the SRA firms is higher than that for the non-SRA firms.…”

“…Table 4 presents the regression results with the stock price (P) as the dependent variable. The regression results consist of results for model (1), model (2), and model (2a) with a sample of 220 observations. The results of the three models show that the F values are significant at the 0.01 level.…”

“…Nowadays, with fewer and fewer barriers to international trade and financial flow and with communication technology directly linking each major financial center, the dimensions of international finance and financial markets are becoming unique [1].…”

Sustainability Reporting and Value Relevance of Financial Statements

“…Nowadays, also with fewer and fewer barriers to international trade and financial 27 flows, and with communications technology directly linking each major financial centre, the 28 dimensions of international finance and financial markets is becoming more and more unique. [1] …”

Quantitative Easing in Europe and its Impact on the Stock Market

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