Stock-bond co-movements and cross-country linkages

Publisher:
InderScience
Publication Type:
Journal Article
Citation:
International Journal of Banking, Accounting and Finance, 2010, 2 (2), pp. 111 - 129
Issue Date:
2010-01
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2008008790OK.pdf451.87 kB
Adobe PDF
This study analyzes the correlation of stock and bond indices for eight developed countries. We compare a country's stock-bond linkages with cross-country linkages and find that the former exhibit a negative trend in contrast to the positive trend observed for cross-country stock market and bond market linkages. We show that the decline of the stock-bond correlation in recent years can be explained with a more frequent portfolio rebalancing of investors due to the globalization of securities markets and implied lower international diversification benefits across similar asset classes. A test for temporal commonalities of changes in cross-country and stock-bond linkages indicates that flight-to-quality from stocks to bonds and cross-country stock market contagion occurs simultaneously.
Please use this identifier to cite or link to this item: