Similar Search Results

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

A memory in the bond : green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework

Mishra, Tapas; Park, Donghyun; Parhi, Mamata; Uddin, … - In: Energy economics 121 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014438770

Co-movement, spillovers and excess returns in global bond markets

Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - 2015

Persistent link: https://www.econbiz.de/10011318315

Higher moment connectedness of cryptocurrencies : a time-frequency approach

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Journal of economics and finance : JEF 47 (2023) 3, pp. 793-814

Persistent link: https://www.econbiz.de/10014380684

CBDC uncertainty : financial market implications

Dunbar, Kwamie - In: International review of financial analysis 87 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014457706

A Theory of Liquidity Spillover Between Bond and CDS Markets

Sambalaibat, Batchimeg - 2018

I build a dynamic search model of bond and CDS markets and show that allowing short positions through CDS contracts … increases liquidity of the underlying bond market. This result contrasts with existing theories on derivatives, which show that … sovereign bond markets reacted to a naked CDS ban …

Persistent link: https://www.econbiz.de/10012938070