Time-varying market integration and stock and bond return concordance in emerging markets

Panchenko, V; Wu, E

Time-varying market integration and stock and bond return concordance in emerging markets

Panchenko, V Wu, E

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Publisher:: Elsevier Inc
Publication Type:: Journal Article
Citation:: Journal of Banking and Finance, 2009, 33 (6), pp. 1014 - 1021
Issue Date:: 2009-01

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Field	Value	Language
dc.contributor.author	Panchenko, V	en_US
dc.contributor.author	Wu, E	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Journal of Banking and Finance, 2009, 33 (6), pp. 1014 - 1021	en_US
dc.identifier.issn	0378-4266	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15836
dc.description.abstract	We investigate the extent to which emerging stock market integration affects the joint behavior of stock and bond returns using a two-stage semi-parametric approach. Using a sample of 18 emerging markets, we find an unambiguous and robust link between emerging stock market integration and stockbond return decoupling. We explain this with a decline in the segmentation risk premia in equities modeled by De Jong and De Roon [De Jong, F., De Roon, F.A., 2005. Time-varying market integration and expected returns in emerging markets. Journal of Financial Economics 78, 583613] that leads to increased demand for stocks and reduced or unchanged demand for bonds. Our findings deliver new insights into the financial liberalization and stockbond comovement literatures.	en_US
dc.publisher	Elsevier Inc	en_US
dc.relation.ispartof	Journal of Banking and Finance	en_US
dc.relation.isbasedon	10.1016/j.jbankfin.2008.10.016	en_US
dc.rights	Elsevier required licence: © 2009 . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. The definitive publisher version is available online at https://doi.org/10.1016/j.jbankfin.2008.10.016	en_US
dc.subject.classification	Finance	en_US
dc.title	Time-varying market integration and stock and bond return concordance in emerging markets	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	33	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1401 Economic Theory	en_US
dc.location.activity	ISI:000233002500005
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.issue	6	en_US
pubs.volume	33	en_US

Abstract:

We investigate the extent to which emerging stock market integration affects the joint behavior of stock and bond returns using a two-stage semi-parametric approach. Using a sample of 18 emerging markets, we find an unambiguous and robust link between emerging stock market integration and stockbond return decoupling. We explain this with a decline in the segmentation risk premia in equities modeled by De Jong and De Roon [De Jong, F., De Roon, F.A., 2005. Time-varying market integration and expected returns in emerging markets. Journal of Financial Economics 78, 583613] that leads to increased demand for stocks and reduced or unchanged demand for bonds. Our findings deliver new insights into the financial liberalization and stockbond comovement literatures.

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http://hdl.handle.net/10453/15836