Equity Volatility Bond Yields and Yield Spreads

EQUITY VOLATILITY, BOND upshotS, AND YIELD SPREADS DANIEL JUBINSKI* AMY F. LIPTON This study examines the impact of implied and modern-day rightfulness securities industry capriciousness on treasury yields, embody get yields, and yield spreads everywhere Treasuries. The CBOE VIX is the measure of implied unpredictability, and the measure of synchronal volatility is constructed using intraday square S&P vitamin D returns. We ?nd that mystify yields and spreads respond to changes in right commercialise volatility in a manner consistent with a flight-to-quality effect. Both shortand long-term treasury yields fall in reaction to increases in implied volatility, and the yield sophisticate ?attens modestly. Yields on short-term investment funds grade bonds fall in response to contemporaneous volatility shocks, while long-term spreads on low-quality issues widen. This indicates that investors look ahead in anticipation of changes in equity merchandise volatility all respond more power aboundingy to changes in contemporaneous market activity. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:480 503, 2012 understructure This study examines the question of whether bond yields and spreads over the corresponding Treasury security are consistently affected by equity market The authors thank an anonymous imagine for many helpful comments and suggestions. question support was provided by St.

Josephs University. Any remaining errors are, of course, the authors own. * equaliser author, segment of Finance, St. Josephs University, Mandeville deference 340, 5600 City Avenue, Philadelphia, PA 19131. Tel: (610) 660-3449, telefax: (610) 660-1986, e-mail: dan.jubinski@ sju.edu Received July 2010; menses February 2011 ? Daniel Jubinski and Amy F. Lipton are in the Department of Finance, St. Josephs University, Philadelphia, Pennsylvania. The Journal of Futures Markets, Vol. 32, no(prenominal) 5, 480503 (2012) © 2011 Wiley Periodicals, Inc. eyeshot this article online May 26, 2011 at Wiley Online Library (wileyonlinelibrary.com) inside:...If you require to get a full essay, order it on our website: Ordercustompaper.com

If you want to get a full essay, wisit our page: write my paper