THE DETERMINANTS OF STOCK AND BOND INDEX RETURN CO-MOVEMENTS: EVIDENCE FROM US, JAPAN AND THAILAND
คำสำคัญ:
Stock-bond comovement, Macroeconomic factors, DCC GARCH, ARDLบทคัดย่อ
This paper investigates whether there exist the co-movements between stock and bond index returns in US, Japan and Thailand, and explores the impact of monetary policy stance, inflation, state of the economy and global market uncertainty on the co-movement. Daily and monthly data during March 1999 to November 2018 are analyzed using Multivariate DCC GARCH models and Autoregressive Distributed Lag (ARDL) models. The study reveals that the stock and bond index co-movements are significant in the three countries. However, the directions of the co-movement are differences. While the high positive co-movement are detected in US and Japan, the small negative co-movement is shown in Thailand. Significant factors driving co-movement are different among countries. Based on flight-to-quality explanation, the result confirms that higher global market uncertainty and state of the economy lead to higher negative relationship in developed countries, like US and Japan. On the contrary, based on contagion phenomenon explanation, higher inflation in emerging market, like Thailand, leads to negative co-movement while higher global market uncertainty causes the positive co-movement between stock and bond index returns.
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