Purpose–The purpose of this paper is to empirically analyze the dynamic relationship between stock market and bond market based on the effect of different information shocks. Design/methodology/approach–This paper decomposes the information of stock market and bond market into public...

Purpose – The purpose of this paper is to empirically analyze the dynamic relationship between stock market and bond market based on the effect of different information shocks. Design/methodology/approach – This paper decomposes the information of stock market and bond market into public...