Work

The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market

Year: 2017

Type: article

Abstract: 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.

Source: Economic Research-Ekonomska Istraživanja

DOI: 10.1080/1331677x.2017.1394896

Authors: Omar Masood, Bora Aktan, Beata Gavurová, Bachar Fakhry, Manuela Tvaronavičienė, Raimonda Martinkutė-Kaulienė

Institutions: University of East London, University of Bahrain, Future University in Egypt, Technical University of Košice, University of Bedfordshire, Vilnius Gediminas Technical University, General Jonas Žemaitis Military Academy of Lithuania

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $944

OpenAlex ID: W2767577519

FWCI: 4.266

Cites: 100

Cited by: 20

Related to: 10