Politická ekonomie 2013, 61(5):605-622 | DOI: 10.18267/j.polek.919

Analýza státních dluhopisů jako indikátoru pro akciový trh

Marika Křepelová, Josef Jablonský
Vysoká škola ekonomická v Praze.

Analysis of Government Bonds as an Indicator for Stock Market

The paper analyzes 10-year government bond and stock index of the Czech Republic and the United States in period from January 2002 to February 2012. Main purpose of the paper is to show connection between bond and stock market and verify whether bonds can be taken as stock indicators. A detailed study of fi nancial time series of both countries is performed. Different stages of each financial time series which is called bear, normal and bull state are presented. The conclusion is that all three stages have different means return and they are in accordance with financial theory. For the division of time series into each state Markov-Switching model is used.

Keywords: stock market, bond market, bull and bear state, Markov-Switching model
JEL classification: C58, C61

Published: October 1, 2013  Show citation

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Křepelová, M., & Jablonský, J. (2013). Analysis of Government Bonds as an Indicator for Stock Market. Politická ekonomie, 61(5), 605-622. doi: 10.18267/j.polek.919
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