Spillovers across High Yield Markets
AbstractThis paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets provides substantial diversification benefits. What is more, most correlations among assets do not increase, rather decrease, during financial crisis.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0412024.
Length: 43 pages
Date of creation: 29 Dec 2004
Date of revision:
Note: Type of Document - pdf; pages: 43
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Asset allocation; Financial crisis; Time-varying correlations; Regime-switching models; Emerging market bonds; Corporate bonds; Stock market.;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-01-02 (All new papers)
- NEP-FIN-2005-01-02 (Finance)
- NEP-FMK-2005-01-02 (Financial Markets)
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