Stock and bond returns correlation in Korea: Local versus global risk during crisis periods
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Asian Economics"
DOI: 10.1016/j.asieco.2019.101136
Abstract: Abstract This paper examines stock and bond returns correlation in Korea as an emerging market case study. The study covers the Asian financial crisis of 1997–1999 and the global financial crisis and European fiscal crisis… read more here.
Keywords: stock bond; returns correlation; bond returns; stock ... See more keywords
Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.05.003
Abstract: Abstract This paper investigates the impacts of both the portfolio rebalancing and signalling channel effects associated with US unconventional monetary policy on the dynamic correlation between the stock and bond markets at different levels of… read more here.
Keywords: signalling channel; portfolio rebalancing; stock bond; stock ... See more keywords
News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Multinational Financial Management"
DOI: 10.1016/j.mulfin.2018.08.001
Abstract: Using monthly stock and bond returns data from both the USA and the UK, this study addresses the issue of whether news implied volatility and its main components have affected in any significant manner the… read more here.
Keywords: news implied; stock bond; implied volatility;
Multifractal analysis of the Chinese stock, bond and fund markets
Sign Up to like & getrecommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.08.067
Abstract: Abstract The stock, bond and fund markets are three important components of a financial market, and the volatility of the markets and correlations between the markets have been paid extensive attention by researchers and investors.… read more here.
Keywords: stock bond; bond; analysis; fund markets ... See more keywords
Stock–bond co-movement in ASEAN-5: the role of financial integration and financial development
Sign Up to like & getrecommendations! Published in 2021 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-11-2020-1312
Abstract: PurposeThis study aims to observe the extent of asset diversification benefits in the Association of Southeast Asian Nations (ASEAN)-5 market by examining the effect of financial integration (FI) and financial development (FD) on domestic stock–bond… read more here.
Keywords: stock bond; financial integration; integration financial; asset diversification ... See more keywords
Uncertainty Due to Infectious Diseases and Stock–Bond Correlation
Sign Up to like & getrecommendations! Published in 2021 at "Econometrics"
DOI: 10.3390/econometrics9020017
Abstract: We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger… read more here.
Keywords: uncertainty due; correlation; stock bond; uncertainty ... See more keywords