کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098112 | 1478672 | 2016 | 49 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The stock-bond comovements and cross-market trading
ترجمه فارسی عنوان
کمپنی های بورس اوراق بهادار و بازار معاملات در بازار
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
We propose an asset pricing model with heterogeneous agents allocating capital to the stock and bond markets to optimize their portfolios, utilizing the dynamic interaction between the two markets. While some agents focus on the stock market and have more expertise in it, the others specialize in the bond market. Based on their comparative advantages in a particular market, heterogeneous agents constantly revise their investment portfolios by taking into account the time-varying stock-bond return comovements and the changing market conditions. Agents׳ collective investment behavior shapes the stock-bond interlinkage, which feedbacks on their subsequent capital allocations. Using monthly US stock and bond data from January 1990 to June 2014, we estimate the vector autoregression model with threshold and Markov switching mechanisms. We find evidence in support of flight-to-quality and show that it is mainly driven by the technical traders who actively sell stocks and buy bonds during periods of high market uncertainty.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 73, December 2016, Pages 417-438
Journal: Journal of Economic Dynamics and Control - Volume 73, December 2016, Pages 417-438
نویسندگان
Mengling Li, Huanhuan Zheng, Terence Tai Leung Chong, Yang Zhang,