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Correlations across Asia-Pacific bond markets and the impact of capital flow management measures

Pornpinun Chantapacdepong; Shim, Ilhyock - In: Pacific-Basin finance journal 34 (2015), pp. 71-101

Persistent link: https://www.econbiz.de/10011535298

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

Equity-bond returns correlation and the bond yield : evidence of switching behaviour from the G7 markets

Humpe, Andreas; McMillan, David G. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 3, pp. 415-444

Persistent link: https://www.econbiz.de/10011555125

Correlation in daily equity and fixed-income returns : implications for a cross-asset factor model

Marsh, Terry Alan - In: Innovations in investment management : cutting edge …, (pp. 113-133). 2008

Persistent link: https://www.econbiz.de/10003748871

Correlations between Stock Returns and Bond Returns : Income and Substitution Effects

Lee, Bong-Soo - 2010

bond returns. The force that drives a positive correlation is identified as the income effect. The force that drives a … correlation between stock and bond returns. We contribute to the literature by proposing an empirical method, structural vector …We attempt to better understand varying correlations between stock and bond returns across countries and over sample …

Persistent link: https://www.econbiz.de/10013139095

Smooth Transition Patterns in the Realized Stock Bond Correlation

Aslanidis, Nektarios - 2012

This paper explores the time variation in the stock-bond correlation using high-frequency data. Gradual transitions … between regimes of negative and positive stock-bond correlation are well accommodated by the smooth transition regression (STR …

Persistent link: https://www.econbiz.de/10013116164