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The relationship between international bond markets and international stock markets

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  • Lim, Edward S.
  • Gallo, John G.
  • Swanson, Peggy E.

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  • Lim, Edward S. & Gallo, John G. & Swanson, Peggy E., 1998. "The relationship between international bond markets and international stock markets," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 181-190.
  • Handle: RePEc:eee:finana:v:7:y:1998:i:2:p:181-190
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    References listed on IDEAS

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    1. Paul Bennett & Jeanette Kelleher, 1988. "The international transmission of stock prices disruption in October 1987," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 17-33.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    3. Ammer, John & Mei, Jianping, 1996. " Measuring International Economic Linkages with Stock Market Data," Journal of Finance, American Finance Association, vol. 51(5), pages 1743-1763, December.
    4. Eli M. Remolona, 1991. "Do international reactions of stock and bond markets reflect macroeconomic fundamentals?," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 1-13.
    5. Lin, Antsong & Swanson, Peggy E., 1993. "Measuring global money market interrelationships: An investigation of five major world currencies," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 609-628, June.
    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    7. Robert R. Grauer and Nils H. Hakansson., 1987. "Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds," Research Program in Finance Working Papers 168, University of California at Berkeley.
    8. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    9. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    10. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    11. Gallo, John G. & Lockwood, Larry J. & Swanson, Peggy E., 1997. "The performance of international bond funds," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 17-35.
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    Cited by:

    1. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
    2. repec:dug:journl:y:2016:i:2:p:194-216 is not listed on IDEAS
    3. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    4. Mihaela Nicolau, 2010. "Practitioners' Tools in Analysing Financial Markets Evolution," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 83-104, August.
    5. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
    6. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, Stockholm School of Economics, China Economic Research Center.
    7. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(2), pages 194-216, April.

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