IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00565492.html
   My bibliography  Save this paper

Is Corporate Bond Market Performance Connected with Stock Market Performance?

Author

Listed:
  • Hayette Gatfaoui

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

Abstract

Stock markets and bond markets are known to interact. Specifically, the common stock market trend (i.e., business cycle also termed market/ systematic risk) impacts the common corporate bond market trend (i.e.,credit cycle). First, we disentangle the common latent component from total stock returns, namely the common systematic/unobserved stock market component. Second, we extract the common latent component from total bond returns, namely the common unobserved/systematic corporate bond component.Then, we estimate the dynamic relationship between systematic total stock returns and systematic total bond returns over time (i.e., co- and antimonotonicity risk). We characterize therefore the time-varying correlation risk (i.e., correlation risk structure) between stock performance and corporate bond performance. Results are instructive in a dynamic risk management prospect with regard to equity- and corporate bond-based portfolios. . .

Suggested Citation

  • Hayette Gatfaoui, 2009. "Is Corporate Bond Market Performance Connected with Stock Market Performance?," Post-Print hal-00565492, HAL.
    • Handle: RePEc:hal:journl:hal-00565492
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    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:hal:journl:hal-00565492. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.