Dynamic stock–bond return correlations and financial market uncertainty

Review of Quantitative Finance and Accounting - Tập 45 - Trang 59-88 - 2014
Thomas C. Chiang1, Jiandong Li2, Sheng-Yung Yang3
1Department of Finance, Drexel University, Philadelphia, USA
2Chinese Academy of Finance and Development (CAFD), Central University of Finance and Economics (CUFE), Beijing, People’s Republic of China
3Department of Finance, National Chung Hsing University, Taichung, Taiwan, ROC

Tóm tắt

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.

Tài liệu tham khảo

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