Volatility spillover between stock and bond markets

Ζήσης, Μάρκος Α.

dc.contributor.advisor	Χρίστου, Χριστίνα
dc.contributor.author	Ζήσης, Μάρκος Α.
dc.date.accessioned	2015-01-28T07:49:45Z
dc.date.available	2015-01-28T07:49:45Z
dc.date.issued	2015-01-28T07:49:45Z
dc.identifier.uri	https://dione.lib.unipi.gr/xmlui/handle/unipi/6262
dc.language.iso	el
dc.rights	Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/deed.el
dc.subject	Stock market
dc.subject	Stocks -- Prices
dc.subject	Stock exchanges
dc.subject	Portfolio management
dc.subject	Bonds
dc.title	Volatility spillover between stock and bond markets
dc.type	Master Thesis
europeana.isShownAt	https://dione.lib.unipi.gr/xmlui/handle/unipi/6262
dc.identifier.call	332.63 ΖΗΣ
dc.description.abstractEN	This thesis studies the phenomenon of volatility spillover between equity and bond markets. It uses two methodologies Hong's volatility spillover test and Yin-Wong Cheung and Lilian K. Ng's causality in variance test. It uses eleven bond markets and eleven stock markets, which form eleven countries. This analysis has two stages; at first it checks for causality with both methodologies among the above mentioned markets. Second it checks for causality exclusively in the bond markets. At first it found almost no causality among markets in both methodologies. As for the second analysis it found strong causality relations among bond markets. Also it checks if an investor can have a diversified portfolio by shifting funds from a bond market to a stock market and vice versa.

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Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management

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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές