The economic value of volatility transmission between the stock and bond markets
研究了欧洲股市与债市之间的波动传导，并设计了一个交易规则，发现该规则在扣除交易成本后仍能获得高回报，对投资组合管理有重要启示。
Abstract This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the major European futures contracts is designed. This rule can be applied to different markets and assets to analyze the economic significance of volatility spillovers observed between them. The results indicate that volatility spillovers take place in both directions and that the stock‐bond trading rule offers very profitable returns after transaction costs. These results have important implications for portfolio management and asset allocation. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1066–1094, 2008