haku: @author Young, P. / yhteensä: 7
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| Tekijä: | Johnson, R. Young, P. |
| Otsikko: | Bond market volatility compared with stock market volatility: Evidence from the UK |
| Lehti: | Journal of Asset Management
2002 : SEP, VOL. 3:2, p. 101-111 |
| Asiasana: | STOCKS STOCK MARKETS VOLATILITY BONDS ASSETS |
| Kieli: | eng |
| Tiivistelmä: | The present study examines bond market volatility and stock market volatility in the UK. Because of the significant impact that bond market volatility has been shown to have on yield spreads and security values, it is important for investors in the global marketplace to be informed of the volatility patterns in these markets as well as the relative volatility of the bond market to the stock market. While previous researchers have found that volatility in the US bond market is increasing relative to stock market volatility, the authors find that the same cannot be said for the UK markets. In addition, the lack of a trend in both the ratio of bond-stock standard deviations and in correlations between stocks and bonds indicates that the effectiveness of bonds as diversification vehicles in the UK has not declined over time. |
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