کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355484 1477789 2018 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Co-movement between equity and bond markets
ترجمه فارسی عنوان
حرکت متحرک بین سهام و بازار اوراق قرضه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets. It reveals that both equity-bond and equity co-movements are important for the developed equity markets. Although the idiosyncratic component plays a substantial role in the emerging equity and bond markets, the global financial crisis has impacted on the co-movement of the emerging equity markets, while does not have an effect on that of the emerging bond markets. The co-movements depend upon market uncertainty measured by VIX.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 53, January 2018, Pages 25-38
نویسندگان
,