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Comovements Of Different Asset Classes During Market Stress

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  • Jan Piplack
  • Stefan Straetmans

Abstract

This paper measures US financial asset class linkages (stocks, bonds, T-bills and gold) during crisis periods. We use extreme value analysis to assess the bivariate exposure of one asset class to extreme movements in the other asset classes. These bivariate co-crash probabilities can be interpreted as a measure of financial contagion. Statistical testing reveals that bivariate extreme linkage estimates exhibit time variation for certain asset pairs, possibly caused by exogenous factors like oil shocks or shifts in monetary policy. Our results have potentially important implications for long-run strategic asset allocation and pension fund management. Copyright 2010 The Authors. Journal compilation 2010 Blackwell Publishing Asia Pty Ltd

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Pacific Economic Review.

Volume (Year): 15 (2010)
Issue (Month): 3 (08)
Pages: 385-400

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Handle: RePEc:bla:pacecr:v:15:y:2010:i:3:p:385-400

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Cited by:
  1. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
  2. Franz Fuerst & Pat McAllister & Petros Sivitanides, 2011. "Flight to Quality? An Investigation of the Attributes of Sold Properties in Hot and Cold Markets," Real Estate & Planning Working Papers rep-wp2011-04, Henley Business School, Reading University.
  3. Jessica James & Kristjan Kasikov & Kerry-Ann Edwards, 2012. "The end of diversification," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1629-1636, November.
  4. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1415-1426, June.

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