Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958132 | Journal of Economics and Business | 2014 | 7 Pages |
Abstract
Empirical evidence of cross-asset market linkages when bond markets plunge is scarce in the co-movement correlation literature. In this note we investigate stock-sovereign bond return correlations focusing on the Greek debt crisis period. We show that the return correlation between the two asset classes has increased during the crisis period and contagion has occurred. We conclude that stock-bond diversification benefits decrease with bond market uncertainty.
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Authors
Vassilios G. Papavassiliou,