کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
961179 929804 2007 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Commonality in the time-variation of stock-stock and stock-bond return comovements
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Commonality in the time-variation of stock-stock and stock-bond return comovements
چکیده انگلیسی
We jointly investigate time-varying comovements between stock returns across countries and between long-term government bond and stock returns within countries. Our focus is on how daily return comovements vary with stock uncertainty, as measured by the implied volatility (IV) from equity index options. Cross-country stock return comovements tend to be stronger (weaker) following high (low) IV days and on days with large (small) changes in IV. Stock-bond return comovements tend to be substantially positive (negative) following low (high) IV days and on days with small (large) changes in IV. A regime-switching analysis also indicates a striking temporal commonality in the stock-stock and stock-bond comovement variations. Our findings bear on understanding the influence of time-varying uncertainty on price formation and the diversification benefits of stock-bond and cross-country stock holdings.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 10, Issue 2, May 2007, Pages 192-218
نویسندگان
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