The lead-lag relation between the stock and the bond markets

Tolikas, Konstantinos

doi:10.1080/1351847x.2017.1340320

Cited by 19 publications

(15 citation statements)

References 41 publications

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“…This result differs from that of Tolikas (2018) who argues the any leading relation from stock to bonds returns only exists for speculative bonds and not investment grade bonds. Our results may differ as we consider sovereign bonds, whereas Tolikas only examines corporate bonds.…”

Section: Mean and Variance Causality And Spillovers Across Assetscontrasting

confidence: 93%

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence

McMillan

2020

SEF

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Purpose This paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries. Design/methodology/approach The authors generate volatility and correlations using the realised volatility approach and implement a general vector autoregression approach to examine causality and spillovers. Findings While results confirm that same asset-cross country return correlations and spillovers increase over time, the same in not true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial amount of time variation; however, there is no evidence of trending in any direction. Equally, cross asset – same country correlations exhibit both negative and positive values. Further, the authors report an inverse relation between same asset – cross country return correlations and cross asset – same country return correlations, i.e. the stock return correlation across countries increases at the same time the stock and bond return correlation within each country declines. Moreover, the results show that the stock and bond return correlations exhibit commonality across countries. The results also demonstrate that stock returns lead movement in bond returns, while US stock and bond returns have predictive power other country stock and bond returns. In terms of the markets analysed, Japan exhibits a distinct nature compared with those of Germany, the UK and USA. Originality/value The results presented here provide a detailed characterisation of how assets interact both with each other and cross-countries and should be of interest to portfolio managers, policy-makers and those interested in modelling cross-market behaviour. Notably, the authors reveal key differences between the behaviour of stocks and bonds and across different countries.

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Section: Mean and Variance Causality And Spillovers Across Assetscontrasting

confidence: 93%

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence

McMillan

2020

SEF

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“…The study further concludes that the daily bond returns are led by the daily stock returns. This indicates that the bond holders might have ample time to position their investments better (Tolikas, 2017). Further, (Kolluri, Wahab, & Wahab, 2015) adds that the Indian stock market is strongly influenced by the U.S. equity market.…”

Section: Discussionmentioning

confidence: 99%

Do stocks outperform treasury bills?

Ninan¹

2020

International Journal of Advanced Scientific Research and Management

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Stocks provide greater return potential than bonds, but with greater volatility along the way." You have probably heard that statement so many times that you simply accept it as a given. But have you ever stopped to ask why? Why have stocks historically produced higher returns than bonds? Why are bonds typically less volatile? This paper helps in understanding the reasons behind these trends. The study highlight the important role of positive skewness in the distribution of individual stock returns, attributable both to skewness in monthly returns and to the effects of compounding. The results help to explain why poorly-diversified active strategies most often underperform market averages.

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“…Numerous research studies into the efficiency of financial markets have found that calendar anomalies in asset prices-or variations in asset returns that follow certain time-dimensional patterns and that are contrary to the concept of market efficiency-occur with surprising regularity (Buguk and Brorsen 2003;Nath and Dalvi 2004;Tolikas 2018). Calendar anomalies may take various effects: day-of-the-week, weekend, week-of-the-month, month-of-the-year, turn-of-the-month, turn-of-the-year, and Halloween.…”

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confidence: 99%

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confidence: 99%

“…Many studies have been conducted in developed and developing countries to test the efficiency of the stock market (Poshakwale 1996;Buguk and Brorsen 2003;Nath and Dalvi 2004) and of the bond market (Conroy and Rendleman 1987;Tolikas 2018). The stock market is found to be more informationally efficient than the bond market (Tolikas 2018). The empirical studies have detected the presence of various seasonal effects in the stock markets of developed economies-such as Australia (Brown et al 1983;Liu and Li 2011); Italy (Barone 1990); UK (Choudhry 2001); US (Davidsson 2006;Gu 2015); and Japan (Chia and Liew 2012)and in developing economies such as Bangladesh (Rahman and Amin 2011;Abedin et al 2015); China (Gao and Kling 2005); Colombia (Wickremasinghe 2007); and India (Ahmad et al 2006;Gupta and Basu 2007;Srinivasan 2010;Arora and Singh 2017).…”

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confidence: 99%

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Market efficiency and calendar anomalies in commodity futures markets: A review

Chhabra¹,

Gupta²

2020

Agricultural Economics Research Review

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This study reviews the literature on market efficiency and calendar anomalies in agricultural commodity futures markets in India and abroad. The study finds that most studies used ordinary least squares regression analysis to test for the weak form of market efficiency and only a few markets are found to be weakly efficient. Many studies that depict market inefficiency report the presence of calendar anomalies in metals and agricultural commodity futures. The most frequently observed calendar anomalies are the day-of-the-week effect and the month-of-the-year effect. Knowing about these market inefficiencies may help commodity market players formulate their purchase, sale, and trading strategies. Keywords Commodity markets, futures market, calendar anomalies, day-of-the-week effect, month-ofthe-year effect JEL codes G14, Q14

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The lead-lag relation between the stock and the bond markets

Cited by 19 publications

References 41 publications

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence

Do stocks outperform treasury bills?

Market efficiency and calendar anomalies in commodity futures markets: A review

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