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Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index

Author

Listed:
  • Amir Saadaoui

    (University of Sfax)

  • Younes Boujelbene

    (University of Sfax)

Abstract

In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean and the conditional variance between the Dow Jones stock index and some emerging bond indices. We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission. We examined this transmission using daily returns between July, 30, 2009 and January, 18, 2011 extracted from Datastream. Our results demonstrate that there is a significant transmission of shocks and volatility between the Dow Jones stock index and bond indices of the emerging countries. The results also confirm the idea that the crisis was transmitted from the United States to the emerging countries due to foreign investment made in these countries.

Suggested Citation

  • Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," EuroEconomica, Danubius University of Galati, issue 2(12), pages 194-216, April.
    • Handle: RePEc:dug:journl:y:2016:i:2:p:194-216
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    References listed on IDEAS

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