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Simple New Method to Predict Bear Markets (The Entropic Linkage between Equity and Bond Market Dynamics)
Parker, Edgar - 2017
new causal link between bond and equity markets, and is a valuable new tool for the modeling and prediction of stock …
Persistent link: https://www.econbiz.de/10012960959
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Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
Trading and investment strategies play an essential part in better understanding fixed income markets. Over-the-counter markets and thousands of different outstanding bonds increase the difficulties to identify adequate comparison methods. Market participants and their practices differ widely...
Persistent link: https://www.econbiz.de/10009622377
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Interrelation and Spillover Effects Between Stocks and Bonds : Cross-Market and Cross-Asset Evidence
McMillan, David G. - 2019
This paper examines the behaviour of stock and bond markets across four major international countries. The results … the stock and bond return correlation within each country declines. Moreover, results show that the stock and bond return … correlations exhibit commonality across countries. Results also demonstrate that stock returns lead movement in bond returns, while …
Persistent link: https://www.econbiz.de/10012892340
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Survey Forecasts and the Time-Varying Second Moments of Stock and Bond Returns
Balduzzi, Pierluigi - 2016
What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We …-1997 change in the stock-bond covariance. Also, the second moments of risk premium news explain most of the variance of the …
Persistent link: https://www.econbiz.de/10013008226
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Swedish Stock and Bond Returns, 1856–2012
Waldenström, Daniel - 2014
This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...
Persistent link: https://www.econbiz.de/10013039644
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Systemic default and return predictability in the stock and bond markets
Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016
realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …
Persistent link: https://www.econbiz.de/10011810905
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The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach
Hasseltoft, Henrik - 2009
the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …
Persistent link: https://www.econbiz.de/10014209829
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Bond market response to the collapse of prominent investment banks
Li, Si; Madura, Jeff; Richie, Nivine - In: The financial review : the official publication of the … 48 (2013) 4, pp. 645-670
Persistent link: https://www.econbiz.de/10010197661
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Bond market event study methods
Ederington, Louis H.; Guan, Wei; Yang, Zongfei - In: Journal of banking & finance 58 (2015), pp. 281-293
Persistent link: https://www.econbiz.de/10011544008
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …
Persistent link: https://www.econbiz.de/10011663407