| Autor: |
Tai-Wei Zhang, Wei-Hwa Wu |
| Rok vydání: |
2014 |
| Předmět: |
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| Zdroj: |
The North American Journal of Economics and Finance. 29:146-155 |
| ISSN: |
1062-9408 |
| DOI: |
10.1016/j.najef.2014.06.001 |
| Popis: |
This study examines the relationship between the high-yield bonds market and the stock market and indicates that stock returns lead high-yield bond returns. Specifically, this study further shows that this lead–lag relationship is more solid during bear market periods since a downward trend in the stock market implies a high likelihood of the exercise of the equity put in short position embedded in a high-yield bond at maturity. We also conducted out-of-sample forecast using a VAR model, an AR model and naive estimation during bear market and non-bear market periods. Our results demonstrate that high-yield bond returns are better predicted by a VAR model that includes past stock returns than by an AR model or naive estimation during bear market periods, but such is not the case during non-bear market periods. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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Full Text from ScienceDirect