Furthermore, consistent with the 'flight-to-quality' phenomenon, the results suggest that periods of elevated stock market uncertainty lead to a decoupling between stock and bond prices. Finally, it is found that the stock–bond return correlation is virtually unaffected by economic growth ...
stockbondlt;pgt;The purpose of this study is to look at the relationship between the stock and the bond market of Russia. By using multivariate conditional volatility models, such as, Bollerslev (1990) CCC model, Engle (2002) the DCC model, we first examine whether the correlations between ...
The bond-stock correlation is significantly lower when the stock market volatility is in the high regime, but higher when the bond volatility is in its high regime. 展开 关键词: Regime-Switching GARCH DCC CCC Bond-Stock Market Correlation ...
We analyze the correlation between the stock and bond markets in Germany and the US. We use a standard no-arbitrage affine model to decompose the correlation between these two assets into its main drivers. The correlation between bond yields and stock returns is a key determinant of asset alloc...
The results show that the composite index of investor sentiment has a significantly positive influence on the long-term stock-bond correlation, and the shock of crises significantly decrease the average correlation but the effect of sentiment does not change significantly. Finally, our out-of-sample...
is also.The correlation between the corporate bond market and stock market is stable.Overall,the correlation between stock markets and debt market is weak,and the nature of market segmentation is evident,the connectivity is very weak,the capacity of market in allocation of resources is disappointing...
When it comes to the business world, you can see inverse correlation in investments. Specifically, the relationship between stocks and the bond market. As a stock price rises, the bond market will tend to decline. In the reverse, when a stock price falls, the bond market will tend to rise...
Suppose we're analyzing the correlation between theS&P 500 indexand a tech stock over the past year, using daily returns. Most days, the stock moves similarly to the broader market, with returns ranging between -2% and +2%. However, one day the following occurs: ...
There can be a lag between falling bond prices and a corresponding stock marketdecline. Currencies and Commodities Currency has an impacton all markets, but the main one is commodity prices. Commodity prices also affect bonds and stocks, while the U.S. dollar and commodity prices generally trend...
The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently. If the trend is sustained, we believe the shift to a negative correlation should boost government bond valuations owing to ...