The Return and Volatility Spillover Effect between Stock and Bond Markets under Different Regimes

Abstract

[[abstract]]本篇文章利用多變量馬可夫狀態轉換GARCH模型(Markov regime switching GARCH，RS -GARCH)探討在不同狀態下，股票市場與債券市場間的外溢效果。本文利用環太平洋各國股票與債券的日資料進行實證分析，實證結果發現：報酬率方面，日本與新加坡在高低波動下皆有資產替代的特性；菲律賓以及台灣等六個國家大部分皆符合財務蔓延的現象。波動度方面，大部分的國家在高波動狀態下，其波動度皆有不對稱的效果。相關性方面，日本與新加坡的相關性在高低波動狀態下皆滿足安全投資轉移的特性；其他國家的相關性則符合財務蔓延的現象。一般而言，大部分國家在市場波動度增加時，會出現符合資產替代、不對稱價格修正、安全投資轉移以及財務蔓延之現象，而且此現象更為明顯。[[abstract]]This article proposes a multivariate Markov regime switching GARCH model (RS -GARCH) to investigate the information spillover effects of stock and bond markets under different market volatility regimes. The model is applied to the daily stock and bond return data of eight Pacific rim countries. Empirical results reveal that Japan and Singapore possess asset substitution effect in return under both high and low volatility states. The rest of the countries exhibit contagion phenomenon. Most of the countries show asymmetric effect in the high volatility state. As for the correlation, Japan and Singapore satisfy the theory of flight to quality and the rest of countries satisfy the contagion theory. In general, most of the countries show the phenomena of asset substitution, asymmetric effect, flight to quality and contagion under high volatility state.[[note]]碩