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Journal of Competitiveness

Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence

Vychytilová Jana

Keywords:
return-volatility relation, stocks, commodities, VIX, TYX

Abstract:
This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod- from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating relations between selected well-known market indices- U.S. treasury bond yields- the 30-year treasury yield index (TYX) and the 10-year treasury yield (TNX); commodity futuresthe TR/J CRB; and implied volatility of S&P 500 index- the VIX. We estimate relative logarithmic returns by using monthly close prices adjusted for dividends and splits and run normality and correlation analyses. This paper indicates that the TR/J CRB can be adequately modeled by a normal distribution, whereas the rest of benchmarks do not come from a normal distribution. This paper, inter alia, points out some evidence of a statistically significant negative relationship between bond yields and the VIX in the past fifteen years and a statistically significant negative linkage between the TR/J CRB and the VIX since 2009. In rather general terms, this paper thereafter supports the a priori idea- financial markets are interconnected. Such knowledge can be beneficial for building and testing accurate financial market models, and particularly for the understanding and recognizing market cycles.

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Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence [PDF file] [Filesize: 1.07 MB]

10.7441/joc.2015.03.10


Vychytilová J. (2015). Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence. Journal of Competitiveness, 7 (3), 143-158 https://doi.org/10.7441/joc.2015.03.10

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ISSN 1804-171X (Print)
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