The sign of stock and bond returns correlation is shown to depend on the origin of risk triggering the crisis. In the local-risk driven crisis of 1997鈥9, a flight to quality occurred across countries, causing stock and bond returns in Korea to decrease together. However, in the global-...
correlationsstockbondlt;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 correlation...
The correlation between stock and bond returns is a cornerstone of asset allocation decisions. History reveals abrupt regime shifts in correlation after long periods of relative stability. We investigate the drivers of the correlation between stocks and bonds and find that inflation, real rates, and ...
This paper analyses the effects of dynamic correlations between stock and bond returns issued by the same firm on the speed of adjustment towards target leverage. The results show that the estimated correlations are time varying, show persistence and differ among firms. Analysis of the potential ...
This paper studies the correlation and volatilities of the bond and stock markets in a regime- switching bivariate GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov-switching GARCH model with Conditional Constant Correlation (CC...
We investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. Our results deliver insights into the dominating drivers of bond-stock comovements. We find that it is not so much the surprise component of the announcement, but the mere fact that...
I examine how an important attribute of financial reporting quality, i.e., accounting conservatism, affects the sensitivity of corporate bond returns to changes in the value of equity (i.e., the hedge ratio). The correlation between stock and bond returns (comovement) is a fundamental input fo...
The authors investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. It was found that it is not so much the surprise component of the announcement, but the mere fact that an announcement occurs that influences the realized bond—stock correla...
We scrutinize the realized stock-bond correlation based upon highfrequency returns. We use quantile regressions to pin down the systematicvariation of the extreme tails over their economic determinants. The correlationdependence behaves differently when the correlation is large negative and largepositive. ...
We quantify the effects of policy uncertainty shocks on stock–bond correlations. • We adopt a novel approach to distinguishing between positive and negative shocks. • The advent of the Euro has not changed the sign of the effects. ...