Flight-to-quality or Contagion? An Empirical Analysis of Stock-bond correlations

Dirk G. Baur · Brian M. Lucey

33 citations0/0 files storedRePEc: Research Papers in Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2001Extreme Correlation of International Equity Markets 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 1986Predicting returns in the stock and bond markets 2004An Empirical Analysis of Stock and Bond Market Liquidity 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns 1997Pitfalls in Tests for Changes in Correlations 2004Asset Market Linkages in Crisis Periods 2007Why does the correlation between stock and bond returns vary over time?

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2008Crisis-Robust Bond Portfolios 2010Stock-bond co-movements and cross-country linkages

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