IDEAS home Printed from https://ideas.repec.org/p/sek/iacpro/8710994.html
   My bibliography  Save this paper

The U.S. term structure and stock market volatility: Evidence from emerging stock markets

Author

Listed:
  • SADETTIN AYDIN YUKSEL

    (ISIK UNIVERSITY)

  • ASLI YUKSEL

    (BAHCESEHIR UNIVERSITY)

  • RIZA DEMIRER

    (Southern Illinois University Edwardsville)

Abstract

Decomposing the term structure of U.S. treasury yields into two components, the expectations factor and the maturity premium, we examine whether the U.S. term structure contains predictive information over emerging stock market volatility. Based on data from 20 emerging markets, we provide positive evidence that holds even after controlling for country specific factors including turnover and market size. Our findings indicate the market?s expectation of future short term rates, implied by the expectations factor, serves as a stronger predictor of stock market volatility compared to the maturity premium component of the yield spread. Moreover, the predictive power of the U.S. term structure increases following the global financial crisis.

Suggested Citation

  • Sadettin Aydin Yuksel & Asli Yuksel & Riza Demirer, 2019. "The U.S. term structure and stock market volatility: Evidence from emerging stock markets," Proceedings of International Academic Conferences 8710994, International Institute of Social and Economic Sciences.
  • Handle: RePEc:sek:iacpro:8710994
    as

    Download full text from publisher

    File URL: https://iises.net/proceedings/iises-international-academic-conference-copenhagen/table-of-content/detail?cid=87&iid=059&rid=10994
    File Function: First version, 2019
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Term structure of interest rates; Stock market volatility; Expectations factor; Maturity premium.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sek:iacpro:8710994. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klara Cermakova (email available below). General contact details of provider: https://iises.net/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.