Spillovers across High Yield Markets

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets provides substantial diversification benefits. What is more, most correlations among assets do not increase, rather decrease, during financial crisis.

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Year of publication:	2004-12-29
Authors:	Moschitz, Julius
Institutions:	EconWPA
Subject:	Asset allocation \| Financial crisis \| Time-varying correlations \| Regime-switching models \| Emerging market bonds \| Corporate bonds \| Stock market

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 43 43 pages
Classification:	G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005413232