IDEAS home Printed from https://ideas.repec.org/a/ids/ijfmkd/v9y2023i1-2p114-135.html
   My bibliography  Save this article

Dynamic correlations of bond and equity futures and macroeconomic determinants: international evidence

Author

Listed:
  • Nikiforos Laopodis
  • Theophano Patra
  • Vassilis Thomas

Abstract

This paper examines whether the dynamic co-movements between stock-bond futures markets may be driven by domestic and international macroeconomic factors. The empirical analysis also investigates whether economic uncertainty and geopolitical risks have an impact on the dynamic conditional correlations of bond and equity futures markets. The results pointed to significance of domestic inflation and industrial production, while the 3M USD Libor and 3M Euribor surfaced as determinants of the dynamic equity-bond futures correlations. Finally, the paper examines the impact of the pandemic on the dynamic correlations with the split of the sample in pre- and post-pandemic periods and it was found that neither the uncertainty nor the geopolitical risk indices emerged as statistically significant in any country.

Suggested Citation

  • Nikiforos Laopodis & Theophano Patra & Vassilis Thomas, 2023. "Dynamic correlations of bond and equity futures and macroeconomic determinants: international evidence," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 9(1/2), pages 114-135.
    • Handle: RePEc:ids:ijfmkd:v:9:y:2023:i:1/2:p:114-135
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=129096
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijfmkd:v:9:y:2023:i:1/2:p:114-135. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=307 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.