This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets. It reveals that both equity-bond and equity...

In this study, we investigated volatility transmission effects be-tween the US and six Asian markets — China, Hong Kong, Japan, Korea, Singapore, and Taiwan — using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse...