Regime switches between dividend and bond yields

Migiakis, Petros M.; Bekiris, Fivos V.

doi:10.1016/j.irfa.2009.03.008

Cited by 5 publications

(4 citation statements)

References 23 publications

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“…To estimate MS-VECM, we need to obtain the error-correction term; thus, we applied the Johansen cointegration test (Johansen and Juselius 1990). Although our study consists of bivariate models, we followed the empirical procedure of Migiakis and Bekiris (2009). This is represented in two forms, a trace statistics test and a maximum eigenvalue statistics test, specified as:…”

Section: Econometric Modelmentioning

confidence: 99%

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The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

Korley

Giouvris

2021

JRFM

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Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

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Section: Econometric Modelmentioning

confidence: 99%

“…T is the actual sample size, andλ i is the i-th largest eigenvalue of the matrix. Further details of MS-VECM estimation can be found in Migiakis and Bekiris (2009).…”

Section: Econometric Modelmentioning

confidence: 99%

The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

Korley

Giouvris

2021

JRFM

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“…However, the correlations between stock and bond returns were deemed conditional and have varied considerably in developed countries (see for instance, Figure 1 in Baele, et al, [2010Baele, et al, [ p. 2376] which shows the change of the correlations between stock prices and bond prices). More recently, Migiakis and Bekiris [2009] found substitution effects among stocks and bonds in the long run. Bansal, et al, [2014] also demonstrated such "flight-to-quality style influence" among equity returns and returns of longer term Treasuries.…”

Section: Asset Market Dynamicsmentioning

confidence: 99%

The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

Miao

2016

International Journal of Management and Economics

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It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies.This study examines the impacts of the Federal Reserve's monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable.Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules.

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“…Empirically, fund managers and financial analysts have widely used the gilt to equity yield ratio (GEYR)-estimated as a ratio of the income yield on long-term government bonds to the income yield on equity-to measure the relative value of equity over bonds and to assess the substitution effects between the two markets (e.g. Harris & Rene, 2000;Migiakis & Bekiris, 2009). Built on that, a positive relation between the GEYR and issuance activity can be proposed (i.e.…”

Section: Time-series Tests and Variable Definitionmentioning

confidence: 99%

When Do Firms Issue New Equity? Evidence from the UK

Ali¹

2015

IJEF

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Earlier evidence has shown that there are substantial time-varying fluctuations in the issuance activity of IPOs and SEOs. Utilizing a comprehensive dataset of 3054 IPOs and 2853 rights issues launched on the London Stock Exchange (LSE) during the time periods (1987-2007) and (1975-2007) respectively, this study aims to conduct a comprehensive analysis of the main alternative determinants of timing of IPOs and rights issues in a unified framework. Three main theories are tested: (i) favorable business and economic conditions; (ii) stock market conditions: bull market timing versus behavioral timing, and (iii) decreasing adverse selection costs and information spill-over. This study explicitly deals with the methodological and econometric challenges associated with modeling the IPOs and rights issues as time-series non-negative count variables via using auto-regressive Poisson model. The findings are significantly consistent with the adverse selection story; firms tend to make more equity offerings during periods of reduced asymmetric information and market uncertainty, robust to the data frequency and variables tested. These findings stand in line with Gerbich (1996) for UK IPOs and Lowry and Schwert (2002) for US IPOs. For rights issues, the findings exhibit that UK seasoned firms tend to time their offerings mostly during periods of bull stock prices, which is consistent with Michailides (2000) for UK rights issues.

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Regime switches between dividend and bond yields

Cited by 5 publications

References 23 publications

The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

When Do Firms Issue New Equity? Evidence from the UK

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