IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Flight-to-quality and asymmetric volatility responses in US Treasuries

Author Info

Listed author(s):
  • Dungey, Mardi
  • McKenzie, Michael
  • Tambakis, Demosthenes N.

Abstract

Flight-to-quality during times of financial crisis is a feature of financial markets. Here, a simple strategic model demonstrates that some preference asymmetry is sufficient to generate endogenous flight-to-quality from an emerging stock market to US Treasury bonds. The empirical evidence from a TARCH model supports the significance of emerging equity market shocks in accounting for the asymmetric properties of US Treasuries across the maturity structure. This effect is found to be more pronounced since the turn of the 21st century.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/pii/S1044-0283(08)00053-7
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 19 (2009)
Issue (Month): 3 ()
Pages: 252-267

as
in new window

Handle: RePEc:eee:glofin:v:19:y:2009:i:3:p:252-267
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

Keywords: Flight-to-quality Volatility Asymmetric GARCH Financial crises Emerging markets;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Kim, Suk-Joong & McKenzie, Michael D. & Faff, Robert W., 2004. "Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 217-232, July.
  2. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
  3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
  4. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
  5. Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
  6. Brian Lucey & Edel Tully, 2006. "Seasonality, risk and return in daily COMEX gold and silver data 1982-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 319-333.
  7. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 9-32.
  8. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 31-50.
  9. Lucy Ackert & Marie Racine, 1997. "The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(4), pages 371-385, December.
  10. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-378, May.
  11. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
  12. Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
  13. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  14. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  15. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  16. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
  17. de Goeij, P. C. & Marquering, W., 2006. "Macroeconomic announcements and asymmetric volatility in bond returns," Other publications TiSEM bc4389f3-bad2-4e5b-b996-3, Tilburg University, School of Economics and Management.
  18. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
  19. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
  20. McKenzie, Michael, 2002. "The Economics of Exchange Rate Volatility Asymmetry," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 247-260, July.
  21. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Full references (including those not matched with items on IDEAS)

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as
in new window


Cited by:

  1. Goedde-Menke, Michael & Langer, Thomas & Pfingsten, Andreas, 2014. "Impact of the financial crisis on bank run risk – Danger of the days after," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 522-533.
  2. repec:eee:eneeco:v:64:y:2017:i:c:p:494-510 is not listed on IDEAS

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:19:y:2009:i:3:p:252-267. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.