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標題: Dynamic stock–bond return correlations and financialmarket uncertainty
關鍵字: Stock–bond correlatio;Volatility;ADCC model;VIX;Default risk
Project: Science+Business Media New York 2014.
This paper investigates the dynamic correlations of stock–bond returns for sixadvanced markets. Statistics suggest that stock–bond relations are time-varying and displaysmooth transitional changes. The stock–bond correlations are negatively correlated withstock market uncertainty as measured by the conditional variance and the implied volatilityof the S&P 500 index. However, stock–bond relations are positively related to bond marketuncertainty as measured by the conditional variance of bond returns. The evidence alsoshows that stock–bond correlations are significantly influenced by default risk and theLondon interbank offered rate–T-bill rate spread in the crisis period.
DOI: 10.1007/s11156-013-0430-4
Appears in Collections:財務金融學系所

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