Co-movement between equity and bond markets

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets. It reveals that both equity-bond and equity co-movements are important for the developed equity markets. Although the idiosyncratic component plays a substantial role in the emerging equity and bond markets, the global financial crisis has impacted on the co-movement of the emerging equity markets, while does not have an effect on that of the emerging bond markets. The co-movements depend upon market uncertainty measured by VIX.

Original languageEnglish
Pages (from-to)25-38
Number of pages14
JournalInternational Review of Economics and Finance
Volume53
DOIs
Publication statusPublished - Jan 2018
Externally publishedYes

Keywords

  • Equity-bond co-movement
  • Flight-to-quality
  • International market
  • Market integration
  • Market uncertainty

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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