Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence
Vychytilová Jana
Keywords:
return-volatility relation, stocks, commodities, VIX, TYX
Abstract:
This paper aims to explore specific cross-asset market correlations over the past fifteen- yearperiod-
from January 04, 1999 till April 01, 2015, and within four sub-phases covering both the
crisis and the non-crisis periods. On the basis of multivariate statistical methods, we focus on investigating
relations between selected well-known market indices- U.S. treasury bond yields- the
30-year treasury yield index (TYX) and the 10-year treasury yield (TNX); commodity futuresthe
TR/J CRB; and implied volatility of S&P 500 index- the VIX. We estimate relative logarithmic
returns by using monthly close prices adjusted for dividends and splits and run normality
and correlation analyses. This paper indicates that the TR/J CRB can be adequately modeled by
a normal distribution, whereas the rest of benchmarks do not come from a normal distribution.
This paper, inter alia, points out some evidence of a statistically significant negative relationship
between bond yields and the VIX in the past fifteen years and a statistically significant negative
linkage between the TR/J CRB and the VIX since 2009. In rather general terms, this paper
thereafter supports the a priori idea- financial markets are interconnected. Such knowledge can
be beneficial for building and testing accurate financial market models, and particularly for the
understanding and recognizing market cycles.
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 Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence [PDF file] [Filesize: 1.07 MB]
 10.7441/joc.2015.03.10
Vychytilová J. (2015). Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence. Journal of Competitiveness, 7 (3), 143-158 https://doi.org/10.7441/joc.2015.03.10
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