Market uncertainty, Investor attention and Stock-bond return relationship

• Main Authors: LEE, YUAN-HAO, 李元皓
• Other Authors: LEE, HSIU-CHUAN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/qqv4su

碩士 === 銘傳大學 === 財務金融學系碩士班 === 107 === This paper investigates the existence of flights from stocks to bonds when the stock market uncertainty and investor attention are considered simultaneously. We use U.S stocks over the period 2005.01 to 2017.07 as a sample and use the Logistic regression model to examine whether the market uncertainty and investor attention have significant effects on stock-bond relations. Specifically, for the effect of market uncertainty, an increase in the stock market risk induces investors to sell off stocks in favor of bonds when a stock market risk is high. The finding is consistent with the Flight-to-safety hypothesis. In addition, when the stock index is close to its historical high, relative to a bond index, investors are likely to sell the stock index and buy the bond index if the change of investor attention of the stock market is higher than those of the bond market. The findings of the effect of investor attention are in support of the Portfolio rebalancing hypothesis proposed by Yuan (2015). Then, we will further explore whether the impact of market uncertainty and investor attention have different effects during the financial crisis and non-financial crisis. Finally, this paper conducts various robustness tests for variables to ensure the stability of the results.