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The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market

Author

Listed:
  • Omar Masood
  • Bora Aktan
  • Beata Gavurová
  • Bachar Fakhry
  • Manuela Tvaronavičienė
  • Raimonda Martinkutė-Kaulienė

Abstract

This article focuses on the asset price volatility at the stock exchange that result from the regime switching behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign debt market. The efficient market hypothesis has been a base for the asset pricing. This hypothesis is discussed in this study. The review of the literature reveals nuances of behavioural finance theory, and allows us to better understand the regime switching behaviour in the market. The object of empirical study is the US sovereign debt market. We use the Markov Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 and 2017 bonds US market, which significantly affects bond prices.

Suggested Citation

  • Omar Masood & Bora Aktan & Beata Gavurová & Bachar Fakhry & Manuela Tvaronavičienė & Raimonda Martinkutė-Kaulienė, 2017. "The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 30(1), pages 1865-1881, January.
    • Handle: RePEc:taf:reroxx:v:30:y:2017:i:1:p:1865-1881
    DOI: 10.1080/1331677X.2017.1394896
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    Cited by:

    1. Dejan Živkov & Boris Kuzman & Jonel Subić, 2020. "What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 66(5), pages 215-225.

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