Inter-tržní přístup k analýze komoditních, akciových, dluhopisových a měnových trhů USA

Vychytilová, Jana

Digitální knihovna UPCE
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Univerzita Pardubice
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Publikace vydané Univerzitou Pardubice / Published by the University of Pardubice
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Odborné časopisy / Journals
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Scientific papers of the University of Pardubice
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Series D, Faculty of Economics and Administration
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2014/32 Scientific papers, Series D
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dc.contributor.author	Vychytilová, Jana
dc.date.accessioned	2015-02-13T13:57:55Z
dc.date.available	2015-02-13T13:57:55Z
dc.date.issued	2014
dc.identifier.issn	1211-555X (Print)
dc.identifier.issn	1804-8048 (Online)
dc.identifier.uri	http://hdl.handle.net/10195/58677
dc.format	p. 136-147	eng
dc.language.iso	cze
dc.publisher	Univerzita Pardubice
dc.relation.ispartof	Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 32 (3/2014)	eng
dc.rights	open access	eng
dc.subject	stock	eng
dc.subject	bond	eng
dc.subject	commodity	eng
dc.subject	correlation	eng
dc.subject	intermarket	eng
dc.title	Inter-tržní přístup k analýze komoditních, akciových, dluhopisových a měnových trhů USA	cze
dc.title.alternative	The intermarket approach to analyzing the U. S. commodity, stock, bond and currency markets	eng
dc.type	Article
dc.description.abstract-translated	The paper examines the basic intermarket model of the four traditional capital asset classes. The model is created by using four most widely followed global market indices S&P 500, R/J CRB, 30-Year US Treasury Bond Price and Dollar Index. Relative performances of those leading global benchmarks are calculated from monthly adjusted close prices and used in product momentum correlations to reflect the statistical significance of the observed empirical results. Dividend yields are not considered in calculations. The selected fifteen year time period allow the user to investigate performances of the four different capital markets during the different economic phases including economic prosperity, economic slowdown or economic turndown phase and indicate how they interrelate. The research identified statistically significant positive correlation between indexes S&P 500 and US Dollar Index in the Faze2, statistically significant negative correlation between indexes 30-Year US Treasury Bond Price and R/JCRB during the Faze4 and finally statistically significant negative correlation between indexes R/J CRB and US Dollar Index during the Faze4 at the 95,0 % confidence level. In other cases and fazes statistically significant non-zero correlations were detected. The research work results are beneficial for the areas of sector rotation, tactical asset allocation and carry trade.	eng
dc.peerreviewed	yes	eng
dc.publicationstatus	published	eng
dc.identifier.scopus	2-s2.0-84929470634