Using a large sample of US corporate bond issuers, we empirically analyze the impact of TRACE implementation on stock liquidity. We propose two competing hypotheses: the transparency spillover hypothesis and the illiquidity spillover hypothesis. The transparency spillover hypothesis predicts...

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...