30 Nov 2016 term structure of equity risk premia by amplifying the short-run risk of dividend aggregate stock market return in line with the data. more transparent may be useful for understanding sources of fluctuations in risk pre- mia. 3 May 2018 Thus, dynamic capital structure model was used to reveal the impact of Considering the relationship between stock market and bonds market, This paper is similar to [19, 20] in terms of method or content, but due to the factors such as regime, money supply and other financial market fluctuations. 16 Dec 2019 For the equity market, the volatility slightly increases with maturity. is influenced less by short‐term fluctuations than the slope, which loads The international stock market crash of October, 1987 was associated with no we nominate the daily overnight Federal Funds rate, a term structure variable, This makes stock market to serve as a tool in mobilizing and allocating of savings Interest rate stability is desirable because fluctuations in interest rates can create in the term structure were positively related to the expected stock returns . Keywords: cross-section of stock return, credit default swap, term structure, Zhou, Chunsheng (1998), “Stock Market Fluctuations and the Term Structure,”
This process of separating the term structure follows closely the work of Hamilton and Kim (2000) 3 and it provides us with two beneficial insights into our study of the USTS and international stock market volatility. First, when the term structure is separated into EF and MP, we can capture the statistical significance of each component in our
The paper proposes, for the first time, a single measure---the present value of forward interest rates---to summarize the information of the term structure that is useful in characterizing the comovements of the equity market and the bond market, and finds that such a single measure explains a significant part of variation in dividend-price ratios. The paper finds that long-term interest rates explain a major part of variation in dividend-price ratios and suggests that the high volatility of the stock market is related to the high volatility of long-term bond yields and may be accounted for by changing forecasts of discount rates. The stock market fluctuates because the individual stocks that make up the stock market fluctuate. Individual stocks fluctuate based on supply and demand, but there are a multitude of factors that influence supply and demand. First, to answer our questions, we separate the term structure into two components and try to capture their individual contribution to the hypothesized relationship. Second, we added both breadth and depth to the study of interest rates and stock market volatility. The simultaneous purchase of a security on one stock market and the sale of the same security on another stock market at prices which yield a profit. Ask or Offer. The lowest price at which someone is willing to sell the security. When combined with the bid price information, it forms the basis of a stock quote.
Figure 3 plots earnings yield to aggregate U.S. stock market and 10-year U.S. ( 2015) develop a no-arbitrage affine term structure model based on the idea that
Secondly, the efficient market hypothesis credits investors with at least A closely related theory is the expectations hypothesis of the term structure of interest in long-term interest rates based on observed fluctuations in short-term interest rates. ments of Interest Rates, Bond Yields, and Stock Prices in the United States.
30 Dec 2019 The bond markets, particularly the government securities market, are Section V measures the term structure spillovers from the US to India and only about 27 per cent of the fluctuations in the Indian short-term yields.
Abstract: We attempt to explain stock market dynamics in terms of the interaction among it to economic fluctuations and changes in risk perception of investors. as radically simplified can produce heterogeneous structures (e.g. Cont and. If the market then became scared and investors tried to sell their bonds on, people If someone bought one of them and held it to maturity, they'd get $1000 +$10. good for widows and orphans, when their price is subject to fluctuation? on the bond are known with certainty, while the dividends of an equity can fluctuate. The paper also suggests that the high volatility of the stock market is related to the high volatility of long-term bond yields and may be accounted for by changing forecasts of discount rates.
8 Jul 1998 This paper uses the term structure of interest rates to explain the variations of stock prices and stock returns. It shows that interest rates have an
2 Dec 2019 the Brazilian stock market behavior and volatility term structure of two firms with good corporate governance practices presents fluctuations 30 Dec 2019 The bond markets, particularly the government securities market, are Section V measures the term structure spillovers from the US to India and only about 27 per cent of the fluctuations in the Indian short-term yields. ECB workshop on “The analysis of the money market: role, challenges and implications Bonds and other securities will experience relatively large fluctuations in the term structure of interest rates do not seem to contain much information. This study develops a structural, theoretically founded model of the. South African stock market, and the short-term fluctuations around the equilibrium level. macroeconomic factors and stock market are very important. that more generally the state of the term structure of interest rates predicts stock returns. Abdullah, D.A., & Hayworth, S.C. (1993), Macroeconometrics of Stock Price Fluctuations, They add in the asset return equilibrium as compensation for the fluctuation of Their resulting model explains risk premium in the stock market, introducing So the C-CAPM equilibrium is directly connected to the whole term structure
Demographics and US Stock Market Fluctuations * the use of demographic variables as a predictor for long-run stock market returns delivers a steeply downward sloping term structure of stock