• Out-of-Stock

Changing Dynamic Relationships between Stock and Bond Markets in Crises: Evidence of a Flight to Quality [extrait BMI 141]

€50.00
Tax included
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

This research explores the dynamic relationship between the domestic stock and bond returns for developed and emerging markets in order to approximate the time varying of inter-market integration and identify its main economic and financial determinants. The results show firstly that there is a significant time-varying conditional correlations between stock and bond indices. During crisis periods or turbulence, dynamic conditional correlations (DCC) fall and even become negative for developed countries, confirming the phenomenon of flight to quality in financial markets. This variability is mainly due to the variation of the exchange rate and economic uncertainty in the financial system.Keywords : Volatility; Stock-bond Correlations; Time-varying Financial Market Integration; Flight to Quality.JEL Codes: C32; E44; F3; G14; G15.

Auteurs :Kammoun Masmoudi Wafa
Extrait de la revue BMI 141

BMI141-1126585
New

16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock
  • Risk-Based and Factor Investing
  • Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis
  • Analyst Earnings Forecasts, Individual Investors’ Expectations and Trading Volume
  • Changing Dynamic Relationships between Stock and Bond Markets in Crises
  • Do Regulatory and Supervisory Reforms Affect European Bank Stability
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Purchasing an Annuity: Now or Later? The Role of Interest Rates
  • Does Corporate Social Performance Really Improve Corporate Financial Performance?
  • Does the Market Value the Social Dimension? International Evidence
  • When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance
Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis
  • Equity Option Listing and Underlying Market Quality: Evidence from a Price Duration Model
  • Does the Catering Theory of Dividend Apply to the French Listed Firms?
This website uses cookies to ensure you get the best experience on our website