Acta Universitatis Danubius. Œconomica, Vol 10, No 6 (2014)

Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets

Amir Saadaoui, Younes Boujelbene


This paper attempts to investigate the transmission of market volatility between the emerging stock and bond markets. To examine this relation between the bond and stock market, we use the BEKK GARCH model; a decomposition approach of the multivariate GARCH (1, 1) model. The outcome of this study displays a significant relation between bond and stock index and the incidence of the interest rate in this transmission. Besides, there is a transmission of volatility between the bond and stock index demonstrated by the DCC GARCH graph. 


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