- Rupture de stock
Société Editions ESKA
Changing Dynamic Relationships between Stock and Bond Markets in Crises: Evidence of a Flight to Quality [extrait BMI 141]
Author : Kammoun Masmoudi Wafa
- Donnez votre avis
50,00 €
TTC
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
Nouveau
16 autres produits dans la même catégorie :
Availability: Out of stock
Sommaire
Articles
- Active Portfolio Management with Conditional Tracking Error
- Bank Acquisitiveness and Financial Crisis Vulnerability
- Is Macroeconomic Announcement News Priced?
Focus On
- Basel III and Bank Liquidity Creation
Availability: Out of stock
Sommaire
Articles
- How Risky are Low-Risk Hedge Funds?
- Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach
- Multi-Asset Seasonality and Trend-Following Strategies
- New Insight on the Performance of Equity Long/short Investment Styles
- Editorial
Availability: Out of stock
Availability: 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?
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
Availability: Out of stock
