Price relationships between bond markets



Introduction. The strengthening of globalization processes leads to a greater integration of the domestic financial market into the global financial market, especially bond market. Ukraine is under significant influence of world economic processes. In this context the impact that has on the state of the domestic market of Ukraine our financial market, as well as the actions of American financial regulators. On the background of the formation of excessive debt structure of the global financial market, including the US market, the financial market of Ukraine in recent time, there is also the nature of the debt market which is a key financial instrument is bonds, i.e. government bonds. Not less important and of the dual influence of the two basic segments of the financial market between market shares and bonds that affects the efficiencyof capital investors.

The purposeis the research of the relationships that are formed between the markets of shares and bonds on the example of financial markets of the USA and Ukraine.

Results. The price relationship between the bond markets of countries with different levels of development has been considered. For the basic indicators, characterizing the main parameters of the bond market the analysis of the influence of the US bond market to the domestic market, determined correlations between the rates of return on ten-year bonds. It has been established that the time series of the rate on ten-year bonds have signs of nonstationarity. Based on the identified nonstationarity time series were analyzed for cointegration. It is determined that the modeling-level rate bonds in Ukraine can be improved by applying advanced Sapsan the value of the rate of the bonds in the United States.

Conclusions. The results do not indicate the manifestation of a dependence between the value of the rates of ten-year bonds in the United States and Ukraine. Also there is no dependence between the current growth rate of bonds. A more detailed analysis also showed the absence of long-term balance between the rates of these bonds. The analysis of the interaction between equity markets and bond between them showed that the existing dual influence should be viewed through the prism of external factors that can lead to very different behavior of these markets, on the one hand they are competitors, in terms of raising capital, on the other in some periods, they are characterized by complementarity.

Ключові слова

bond market; stock market; price; volatility; stock exchange rate; cointegration

Повний текст:



Garbar, Z. V. (2014). Analiz suchasnoho stanu rynku derzhavnykh tsinnykh paperiv v Ukraini [Analysis of the current state of the stock market in Ukraine]. Ekonomichnyi analiz – Economic Analysis, 18 (1), 136–146 [in Ukrainian].

Zinchenko, F. (2016). Mizhnarodnyi rynok borhovykh tsinnykh paperiv [The international debt securities market]. Zovnishnia torhivlia: ekonomika, finansy, pravo – Foreign Trade: Economics, Finance, Law, 2, 99–116 [in Ukrainian].

Krasnova, I. V. (2016). Tendentsii ta superechnosti rozvytku finansovoho rynku v umovakh intehratsii [The tendencies and contradictions of development of the financial market in the conditions of integration]. Biznes-Inform – Business-Inform, 10, 284–290 [in Ukrainian].

Lutsiv, P. (2017). Hlobalni impulsy transformatsii na mizhnarodnykh rynkakh kapitalu [The global impacts of transformation on world capital market]. Svit finansiv – World of Finance, 4 (53), 89–98 [in Ukrainian].

Pavlovska, E. O. (2014). Tendentsii rozvytku rynku derzhavnykh oblihatsii v konteksti obsluhovuvannia derzhavnoho borhu [State bonds market trends in the context of servicing the public debt]. Biznes-Inform – Business-Inform, 9, 266–271 [in Ukrainian].

Pieckhota, A. V. (2016). Birzhovyi rynok tsinnykh paperiv v Ukraini: problemy rozvytku [Stock market of securities in ukraine: issue of development]. Naukovyi visnyk Uzhhorodskoho natsionalnoho universytetu. Seriya “Mizhnarodni ekonomichni vidnosyny ta svitove hospodarstvo” – Scientific Herald of Uzhgorod National University. International Economic Relations and World Economy, 8 (2), 53–58 [in Ukrainian].

Plastun, O. L. (2014). Prohnozuvannia finansovykh rynkiv: suchasni kontseptsii ta novi pidkhody [Forecasting financial markets: contemporary concepts and new approaches]. Sumy: [in Ukrainian].

Rubakha, M. V., Holovnych, O. B. (2015). Rynok tsinnykh paperiv: suchasnyi stan, problemy i perspektyvy rozvytku [Securities market: modern state, problems and prospects of development]. Naukovyi visnyk Mizhnarodnoho humanitarnoho universytetu. Seriia “Ekonomika ta menedzhment” – International Humanitarian University Herald. Economics and Management, 13, 207–210 [in Ukrainian].

Tymoshenko, N. M. (2016). Rynok derzhavnykh tsinnykh paperiv ta osnovni chynnyky yoho rozvytku v Ukraini [Government securities market and the factors its development in Ukraine]. Naukovyi visnyk Khersonskoho derzhavnoho universytetu – Scientific Bulletin of Kherson State University, 17 (4), 119–122 [in Ukrainian].

Shkolnyk, I. O. (2011). Kapitalizatsiia fondovoho rynku Ukrainy v konteksti svitovykh tendentsii [Stock market capitalization in Ukraine in the context of global trends]. Finansy Ukrainy – Finance of Ukraine, 4, 65–74 [in Ukrainian].

Chang, C. L., Hsueh, P. L. (2014). An investigation of the flight-to-quality effect: evidence from Asia-Pacific countries. Emerging Markets Finance and Trade, 49 (4), 53–69. Available at :

Vayanos, D. Flight to quality, flight to liquidity and the pricing of risk. NBER Working Paper, 10327, 55. Available at :

Boeing-Reicher, C. A., Boysen-Hogrefe, J. (2017). Estimating the effects of the “flight-toquality”, with an application to German bond yields and interest payments during the Euro crisis. KIEL Working Paper, 2086, 46.

Chiang, T. C., Chen, X. (2016). Empirical analysis of dynamic linkages between China and International Stock Markets. Journal of Mathematical Finance, 6, 189–212. Available at :

Ciner, Ç. (2007). Dynamic linkages between international bond markets. Journal of Multinational Financial Management, 17, 290–303.

Eyuboglu, K. Eyuboglu, S. (2017). Examining the developed and emerging bond market interactions: a VAR analysis. Acta Universitatis Danubius. Economica, 2, 139–156 (Vol. 13).

Hammoudeh, S., Kang, S. H., Mensi, W., Nguyen, D.. (2014). Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting. Available at :

Kim, S.-J., Luccy, B., Wu, E. (2006). Dynamics of bond market integration between existing and accession EU countries. Journal of International Financial markets, Institution & Money, 16, 41–56.

Kumar, M. S., Okimoto, T. (2011). Dynamics of international integration of government securities’ markets. Journal of banking and finance, 35, 142 – 154.

Smith, K. (2002). Government bond market seasonality, diversification, and cointegration: international evidence. Journal of Financial Research, 25 (2), 203–221.

Campbell, J., Ammer, J. (1993) What moves the stock and bond markets? A variance decomposition for long-term asset returns. The Journal of Finance, 48 (1), Available at :

Fleming, J., Kirby, C., Ostdiek, B. (2002). The economic value of volatility timing using “realized” volatility. Journal of Financial Economics, 1–47.

Boyd, J. Hu, R. Jagannathan (2005). The Stock market’s reaction to unemployment news: Why bad news is usually good for stocks, R. Journal of Finance, 60, 649–672.

Anderson, T. G., Bollerslev, T., Diebold, F. X., Vega, C. (2007). Real-time price discovery in global stock, bond and foreigh exchange narkets, Journal of International Economics, 73, 251–277.


  • Поки немає зовнішніх посилань.

ISSN 1818-5754 (print), ISSN 2415-3672 (online)
Ternopil National Economic University
© "WOF", 2004-2019