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Flight-to-Quality between Stock and Bond Markets: Pre and Post Global Financial Crisis
11 references·0 citing·51 second hop
Flight-to-Quality between Stock and Bond Markets: Pre and Post Global Financial Crisis (2015)Flight-to-Quality between Stock and Bond …Flights and contagion—An empirical analysis of stock–bond correlations (2008)Flights and contagion—An empi…Flight to Quality and Bailouts: Policy Remarks and a Literature Review (2008)Flight to Quality and Bailout…International stock–bond correlations in a simple affine asset pricing model (2006)International stock–bond corr…Volatility transmission between stock and bond markets (2005)Volatility transmission betwe…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …Stock-Bond Correlations (2003)Stock-Bond CorrelationsDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Information and volatility li…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Why Don't the Prices of Stocks and Bonds Move Together? 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this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.435 cited
  • 2008Flights and contagion—An empirical analysis of stock–bond correlations335 cited
  • 2003Stock-Bond Correlations184 cited
  • 1986Why Don't the Prices of Stocks and Bonds Move Together?167 cited
  • 2006International stock–bond correlations in a simple affine asset pricing model77 cited
  • 2005Volatility transmission between stock and bond markets53 cited
  • 2008Flight to Quality and Bailouts: Policy Remarks and a Literature Review48 cited

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