The economic value of volatility transmission between the stock and bond markets

• Published in: The journal of futures markets Vol. 28; no. 11; pp. 1066 - 1094
• Main Authors: Chuliá, Helena, Torró, Hipòlit
• Format: Journal Article
• Language: English
• Published: Hoboken Wiley Subscription Services, Inc., A Wiley Company 01.11.2008; Wiley Periodicals Inc
• Subjects: Asset allocation; Bond market; Capital market theory; Economic impact; Eurobonds; Futures; Mathematical finance; Portfolio management; Stock exchange; Stock index futures; Studies; Transmission mechanism; Volatility; Europe

This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the...