Stock-bond co-movements and cross-country linkages

Baur, DG

Stock-bond co-movements and cross-country linkages

Baur, DG

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Publisher:: InderScience
Publication Type:: Journal Article
Citation:: International Journal of Banking, Accounting and Finance, 2010, 2 (2), pp. 111 - 129
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Baur, DG	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	International Journal of Banking, Accounting and Finance, 2010, 2 (2), pp. 111 - 129	en_US
dc.identifier.issn	1755-3830	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15878
dc.description.abstract	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.	en_US
dc.publisher	InderScience	en_US
dc.relation.ispartof	International Journal of Banking, Accounting and Finance	en_US
dc.relation.isbasedon	10.1504/IJBAAF.2010.032848	en_US
dc.title	Stock-bond co-movements and cross-country linkages	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
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	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	2	en_US

Abstract:

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:

http://hdl.handle.net/10453/15878