Conference Proceedings

Ninth International Conference On Advances In Economics, Social Science And Human Behaviour Study - ESSHBS 2019

ASSESSMENT OF BOND PRICE VOLATILITY IN EMERGING ECONOMIES: A UNIVARIATE GARCH APPROACH

Author(s) : E. CHUKE NWUDE, HILLARY CHIJINDU EZEAKU

Abstract

This paper examines the volatility of bond returns in emerging economies with particular case of India and Canada. The study used daily data from 02/01/2012 to 01/01/2018 for India, and 1/03/2012 12/29/2017 for Canada. The univariate GARCH model was employed in estimating the variance equation. Our findings revealed that there were ARCH effects as well as volatility clustering over the period for India and Canada. We observed that endogenous shocks have significant influence on bond price volatilities in both economies. On the other hand, shocks from the stock market return, which is included in the model as exogenous variable, also exerted significant influence on the volatilities of our variable of interest for India whereas the effect was insignificant in the case of Canada. Diagnostic tests on the mean and variance equations showed that our ARCH and GARCH models were correctly specified. We concluded that both the bond return and stock market return shows visible signs of volatilities which are significantly affected by both internal and external shocks.

Conference Title : Ninth International Conference On Advances In Economics, Social Science And Human Behaviour Study - ESSHBS 2019
Conference Date(s) : 20-21, July 2019
Place : University Of Westminster, London, United Kingdom
No fo Author(s) : 2
DOI : 10.15224/978-1-63248-175-7-01
Page(s) : 1-12
Electronic ISBN : 978-1-63248-175-7
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