Dynamic stock–bond return correlations and financial market uncertainty

Dynamic stock–bond return correlations and financial market uncertainty This paper investigates the dynamic correlations of stock–bond returns for six advanced markets. Statistics suggest that stock–bond relations are time-varying and display smooth transitional changes. The stock–bond correlations are negatively correlated with stock market uncertainty as measured by the conditional variance and the implied volatility of the S&P 500 index. However, stock–bond relations are positively related to bond market uncertainty as measured by the conditional variance of bond returns. The evidence also shows that stock–bond correlations are significantly influenced by default risk and the London interbank offered rate–T-bill rate spread in the crisis period. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Dynamic stock–bond return correlations and financial market uncertainty

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Springer US
Copyright © 2014 by Springer Science+Business Media New York
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
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