The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market

Article


Masood, O., Aktan, Bora, Gavurová, Beata, Fakhry, Bachar, Tvaronavičienė, Manuela and Martinkutė-Kaulienė, Raimonda 2017. The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market. Economic Research-Ekonomska Istraživanja. 30 (1), pp. 1865-1881.
AuthorsMasood, O., Aktan, Bora, Gavurová, Beata, Fakhry, Bachar, Tvaronavičienė, Manuela and Martinkutė-Kaulienė, Raimonda
Abstract

This article focuses on the asset price volatility at the stock exchange that result from the regime switching behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign debt market. The efficient market hypothesis has been a base for the asset pricing. This hypothesis is discussed in this study. The review of the literature reveals nuances of behavioural finance theory, and allows us to better understand the regime switching behaviour in the market. The object of empirical study is the US sovereign debt market. We use the Markov Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 and 2017 bonds US market, which significantly affects bond prices.

JournalEconomic Research-Ekonomska Istraživanja
Journal citation30 (1), pp. 1865-1881
ISSN1331-677X
Year2017
PublisherTaylor & Francis
Publisher's version
License
Digital Object Identifier (DOI)doi:10.1080/1331677X.2017.1394896
Web address (URL)https://doi.org/10.1080/1331677X.2017.1394896
Publication dates
Online06 Nov 2017
Publication process dates
Deposited04 Jan 2018
Accepted14 Sep 2017
Accepted14 Sep 2017
Copyright information© 2017 The authors.
LicenseCC BY 4.0
Permalink -

https://repository.uel.ac.uk/item/849z1

  • 5
    total views
  • 21
    total downloads
  • 1
    views this month
  • 5
    downloads this month