Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2017.1394896
The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market
Omar Masood
; Business School, University of East London, London, UK
Bora Aktan
; College of Business Administration Department of Economics and Finance, University of Bahrain, Isa Town, Kingdom of Bahrain; Faculty of Commerce and Business Administration, Future University in Egypt, New Cairo, Egypt
Beata Gavurová
; Faculty of Economics, Technical University of Košice, Kosice, Slovak Republic; e Business School, University of Bedfordshire, Luton, UK
Bachar Fakhry
; Business School, University of Bedfordshire, Luton, UK
Manuela Tvaronavičienė
orcid.org/0000-0002-9667-3730
; Faculty of Business Management, Department of Economics and Management of Enterprises, Vilnius Gediminas Technical University, Vilnius, Lithuania; Department of Management, The General Jonas Zemaitis Military Academy of Lithuania, Vilnius, Lithuania
Raimonda Martinkutė-Kaulienė
; Faculty of Business Management, Department of Financial Engineering, Vilnius Gediminas Technical University, Vilnius, Lithuania
Sažetak
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.
Ključne riječi
Price volatility; regime-switching behaviour; switching-autoregressive conditional heteroskedasticity (SWARCH); sovereign debt market
Hrčak ID:
193289
URI
Datum izdavanja:
1.12.2017.
Posjeta: 1.035 *