Stock-bond co-movements and cross-country linkages
AbstractThis study analyses 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 globalisation 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.
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Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Banking, Accounting and Finance.
Volume (Year): 2 (2010)
Issue (Month): 2 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID=277
stock market co-movements; bond market co-movements; stock-bond co-movements; flight-to-quality; market contagion; stock markets; bond markets.;
Other versions of this item:
- Dirk G. Baur, 2007. "Stock-bond co-movements and cross-country linkages," The Institute for International Integration Studies Discussion Paper Series iiisdp216, IIIS.
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