کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
974984 | 1479785 | 2014 | 10 صفحه PDF | دانلود رایگان |
• The estimation of VAR model shows that the stock market returns lead high-yield bond returns, but not vice versa.
• This lead–lag relationship is more solid during bear market periods.
• Out-of-sample forecast shows that high-yield bond returns are better predicted by a VAR model during bear market periods, but such is not the case during non-bear market periods.
• The predictability of high-yield bonds is asymmetric.
This study examines the relationship between the high-yield bonds market and the stock market and indicates that stock returns lead high-yield bond returns. Specifically, this study further shows that this lead–lag relationship is more solid during bear market periods since a downward trend in the stock market implies a high likelihood of the exercise of the equity put in short position embedded in a high-yield bond at maturity. We also conducted out-of-sample forecast using a VAR model, an AR model and naïve estimation during bear market and non-bear market periods. Our results demonstrate that high-yield bond returns are better predicted by a VAR model that includes past stock returns than by an AR model or naive estimation during bear market periods, but such is not the case during non-bear market periods.
Journal: The North American Journal of Economics and Finance - Volume 29, July 2014, Pages 146–155