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Analýza státních dluhopisů jako indikátoru pro akciový trh
[Analysis of Government Bonds as an Indicator for Stock Market]

Author

Listed:
  • Marika Křepelová
  • Josef Jablonský

Abstract

The paper analyzes 10-year government bond and stock index of the Czech Republic and the United States in period from January 2002 to February 2012. Main purpose of the paper is to show connection between bond and stock market and verify whether bonds can be taken as stock indicators. A detailed study of fi nancial time series of both countries is performed. Different stages of each financial time series which is called bear, normal and bull state are presented. The conclusion is that all three stages have different means return and they are in accordance with financial theory. For the division of time series into each state Markov-Switching model is used.

Suggested Citation

  • Marika Křepelová & Josef Jablonský, 2013. "Analýza státních dluhopisů jako indikátoru pro akciový trh [Analysis of Government Bonds as an Indicator for Stock Market]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(5), pages 605-622.
    • Handle: RePEc:prg:jnlpol:v:2013:y:2013:i:5:id:919:p:605-622
    DOI: 10.18267/j.polek.919
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    References listed on IDEAS

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    1. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-593, Sept.-Oct.
    2. Massimo Guidolin & Allan Timmermann, 2005. "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns," Economic Journal, Royal Economic Society, vol. 115(500), pages 111-143, January.
    3. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stock market; bond market; bull and bear state; Markov-Switching model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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