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Quantiles of the realized stock-bond correlation and links to the macroeconomy

Aslanidis, Nektarios; Christiansen, Charlotte - In: Journal of empirical finance 28 (2014), pp. 321-331

Persistent link: https://www.econbiz.de/10011285626

Trends in stock-bond correlations

Ohmi, Harumi; Okimoto, Tatsuyoshi - 2015

Persistent link: https://www.econbiz.de/10011381967

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

Effects of macroeconomic uncertainty on the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16

Persistent link: https://www.econbiz.de/10011552317

Impact of financial market uncertainty and macroeconomic factors on stock-bond correlation in emerging markets

Dimic, Nebojsa; Kiviaho, Jarno; Piljak, Vanja; Äijö, Janne - In: Research in international business and finance 36 (2016), pp. 41-51

Persistent link: https://www.econbiz.de/10011594241

Trends in Stock-Bond Correlations

Okimoto, Tatsuyoshi - 2017

Previous research document the existence of long-run trends in comovements in the stock and bond markets. Following these findings, this paper examines possible trends in stock- bond return correlations. To this end, we introduce a trend component into a smooth transition regression (STR) model...

Persistent link: https://www.econbiz.de/10012950926

Determinants of the Greek Stock-Bond Correlation

Migiakis, Petros M. - 2022

The stock-bond correlation has been related to market uncertainty and macroeconomic variables. In this paper, we focus … on the common pricing process of Greek stocks and bonds, through the correlation of their returns. We derive dynamic … the Greek stock-bond correlation are explained by several risk factors, related to liquidity and market’s uncertainty …

Persistent link: https://www.econbiz.de/10013404118

The role of investor sentiment in the long-term correlation between U.S. stock and bond markets

Fang, Libing; Yu, Honghai; Huang, Yingbo - In: International review of economics & finance : IREF 58 (2018), pp. 127-139

Persistent link: https://www.econbiz.de/10012034198

US Stock-Bond Correlation : What are the Macroeconomic Drivers?

Shen, Junying; Weisberger, Noah - 2021

US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently … negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs … to increase stock allocations while still satisfying a portfolio risk budget. However, stock-bond correlation is not …

Persistent link: https://www.econbiz.de/10013225483

Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market

Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96

Persistent link: https://www.econbiz.de/10011431392

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