Equity Volatility Bond Yields and Yield Spreads

EQUITY VOLATILITY, BOND carryS, AND YIELD SPREADS DANIEL JUBINSKI* AMY F. LIPTON This study examines the impact of implied and modern truth securities industry unpredictability on treasury yields, realize get yields, and yield spreads everywhere Treasuries. The CBOE VIX is the measure of implied excitability, and the measure of contemporary volatility is constructed using intraday square S&P vitamin D returns. We ?nd that follow yields and spreads reply to changes in candor securities industry volatility in a manner consistent with a flight-to-quality effect. Both shortand long-term treasury yields fall in reply to increases in implied volatility, and the yield diverge ?attens modestly. Yields on short-term investiture grade bonds fall in response to contemporaneous volatility shocks, while long-term spreads on low-quality issues widen. This indicates that investors look ahead in anticipation of changes in equity marketplace volatility exactly respond more strongly to changes in contemporaneous market activity. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:480 503, 2012 intro This study examines the question of whether bond yields and spreads over the corresponding Treasury security are consistently affected by equity market The authors thank an anonymous infer for many helpful comments and suggestions. enquiry support was provided by St.

Josephs University. Any remaining errors are, of course, the authors own. * correspondence author, segment of Finance, St. Josephs University, Mandeville submission 340, 5600 City Avenue, Philadelphia, PA 19131. Tel: (610) 660-3449, fax: (610) 660-1986, e-mail: dan.jubinski@ sju.edu Received July 2010; up-to-the-minute February 2011 ? Daniel Jubinski and Amy F. Lipton are in the Department of Finance, St. Josephs University, Philadelphia, Pennsylvania. The Journal of Futures Markets, Vol. 32, no(prenominal) 5, 480503 (2012) © 2011 Wiley Periodicals, Inc. peck this article online May 26, 2011 at Wiley Online Library (wileyonlinelibrary.com) inside:...If you extremity to get a complete essay, order it on our website: Ordercustompaper.com

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