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1 Ekonomický časopis (Journal of Economics)

1 2019

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WAVELET ANALYSIS OF THE INTERDEPENDENCE BETWEEN STOCKS AND BONDS IN THE SELECTED EAST EUROPEAN AND EURASIAN EMERGING MARKETS

100%

Živkov D. , Njegiċ J. , Peċanac M.

nr 2

175 – 194

This paper tries to thoroughly investigate the multi-horizon nexus between national stocks and 10Y bonds in six emerging markets (the Czech Republic, Poland, Hungary, Romania, Russia and Turkey). For the computational purposes we use two complementary methodologies – wavelet signal decomposing technique and phase difference. Wavelet coherence results indicate that low coherence areas are overwhelmingly present in WTC plots in all the selected countries, which indicates that these instruments might be useful for diversification and hedging purposes. Additional wavelet correlation approach measures average wavelet correlations across the scale very precisely, revealing that majority of the wavelet correlation coefficients are negative, which imply that these financial instruments are good hedging tools. Phase differences were found dominantly in domains beyond π/2 and –π/2 boundaries in midterm and long-term in most of the countries, which also suggests negative coherence. Overall findings are in line with the general perception that stock returns and bond yields of the selected countries move in opposite direction, primarily because interest rate is constituent part in dividend discount model, and due to portfolio rebalancing activities.