Bond Market Volatility vs. Stock Market Volatility: The Swiss Experience

Financial Markets and Portfolio Management, Vol. 18, No. 1, pp. 8-23, 2004

Posted: 12 Sep 2005

See all articles by Robert R. Johnson

Robert R. Johnson

Creighton University - College of Business Administration

Philip J. Young

University of Tennessee at Martin

Abstract

The present study examines bond market volatility and stock market volatility in Switzerland. Because of the significant impact that bond market volatility has been shown to have on yield spreads and security values, it is important for investors in the global marketplace to be informed of the volatility patterns in these markets as well as the relative volatility of the bond market to the stock market. While previous researchers have found that in the U.S. bond market volatility is increasing relative to stock market volatility, we find that the same cannot be said for the Swiss markets. In addition, the lack of a trend in the ratio of bondstock standard deviations and a negative trend in the correlations between stocks and bonds indicate that the effectiveness of bonds as diversification vehicles in Switzerland has not declined, but rather increased over time. This finding has implications for portfolio asset allocation decisions for global investors. The results of this study indicate that it is dangerous to assume that trends in market volatility are similar across the developed securities markets.

JEL Classification: G0, G1

Suggested Citation

Johnson, Robert R. and Young, Philip J., Bond Market Volatility vs. Stock Market Volatility: The Swiss Experience. Financial Markets and Portfolio Management, Vol. 18, No. 1, pp. 8-23, 2004, Available at SSRN: https://ssrn.com/abstract=796668

Robert R. Johnson (Contact Author)

Creighton University - College of Business Administration ( email )

United States
4342492805 (Phone)

Philip J. Young

University of Tennessee at Martin ( email )

216 Business Administration Bldg.
Martin, TN 38238
United States
731-881-7228 (Phone)
731-881-7256 (Fax)

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
1,978
PlumX Metrics