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Empirical evidence on the stock-bond correlation

Molenaar, Roderick; Senechal, Edouard; Swinkels, Laurens; … - 2023

The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move … and magnitude of the stock-bond correlation. Our historical analyses across countries suggest that our findings are robust …. We apply these insights to analyze the implications of a shift in stock-bond correlation regime for the risk of multi …

Persistent link: https://www.econbiz.de/10014349506

Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets

Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...

Persistent link: https://www.econbiz.de/10014351309

Minimum variance portfolio in ASEAN-6 stock markets diversification : a Vietnamese perspective

Tri Hoang - In: Cogent business & management 9 (2022) 1, pp. 1-23

pandemic (period 2). Correlations are evaluated pre and post crises using both an 86-month correlation window for the whole … period and a 12-month rolling correlation window. To assess the benefits of diversification, several portfolios are built …

Persistent link: https://www.econbiz.de/10014429106

Has COVID-19 changed the correlation between cryptocurrencies and stock markets?

Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156

. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European … are dependent during crisis periods, but not during non-crisis periods. This confirms the time-varying correlation between …

Persistent link: https://www.econbiz.de/10014445351

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Persistent link: https://www.econbiz.de/10014305816

Time Variation in Asset Return Dependence : Strength or Structure?

Markwat, Thijs D. - 2013

The dependence between asset returns varies. Its strength can become stronger or weaker. Also, its structure can change, for example, when asymmetries related to bull and bear markets become more or less pronounced. To analyze these di erent types of variations, we develop a model that...

Persistent link: https://www.econbiz.de/10013095684

Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting

Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022

current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

Persistent link: https://www.econbiz.de/10013380503

European equity market contagion : an empirical application to Ireland's sovereign debt crisis

Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

Persistent link: https://www.econbiz.de/10011471074

What drives the stock market integration in the CEE-3?

Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - 2013

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...

Persistent link: https://www.econbiz.de/10011638352

Linkage between global economic variables and Indian stock market

Yadav, Sachita - In: International journal of critical accounting : IJCA 11 (2020) 6, pp. 473-486

Persistent link: https://www.econbiz.de/10012507816