dc.contributor.author | Xie, Shuichang | |
dc.date.accessioned | 2012-08-29T18:29:34Z | |
dc.date.available | 2012-08-29T18:29:34Z | |
dc.date.issued | 2012-08-29 | |
dc.identifier.uri | http://hdl.handle.net/10222/15424 | |
dc.description.abstract | In contrast to the studies of constant or time-varying correlations between stock and bond returns, in this thesis, I explore the regime-dependent correlations between stock and bond returns. Specifically, I start with a comprehensive asset pricing model, i.e., a regime-switching multifactor model, and then investigate the regime-dependent correlations between stock and bond returns. Based on the BIC, the number of regimes in the regime-switching model is optimally determined to be two. For the two regimes, the directions of the regime-dependent correlations appear to be significantly different. Also, the magnitudes of the regime-dependent correlations are substantially larger in these two regimes than the correlation in the single regime.
With my findings in the regime-dependent correlations, I then examine the performance of portfolio strategies. Throughout the in-sample and out-of-sample tests, I find that the two portfolio strategies, regime inferred portfolio and probability implied portfolio, can outperform the benchmark, S&P 500. | en_US |
dc.language.iso | en_US | en_US |
dc.subject | Regime-switching, Mean-variance Analysis, Portfolio | en_US |
dc.title | A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS | en_US |
dc.date.defence | 2012-08-24 | |
dc.contributor.department | Department of Economics | en_US |
dc.contributor.degree | Master of Arts | en_US |
dc.contributor.external-examiner | N/A | en_US |
dc.contributor.graduate-coordinator | Dr. Melvin Cross | en_US |
dc.contributor.thesis-reader | Dr. Kuan Xu | en_US |
dc.contributor.thesis-reader | Dr. Leonard C. MacLean | en_US |
dc.contributor.thesis-supervisor | Dr. Yonggan Zhao | en_US |
dc.contributor.ethics-approval | Not Applicable | en_US |
dc.contributor.manuscripts | Not Applicable | en_US |
dc.contributor.copyright-release | Not Applicable | en_US |