Book Chapter Details
Mandatory Fields
Thomas J. Flavin
2019 Unknown
Handbook of Global Financial Markets: Transformations, Dependence and Risk Spillovers
From Bulls to Bears: Stock-Bond Comovements in European Markets
World Scientific Publishing Company
In Press
Optional Fields
Stock-bond comovement; diversification; safe-haven asset; regime-switching; financial crises; shock transmission
We analyze the stock-bond relationship across different market conditions for a number of European countries, separately investigating the impact of stock and bond market shocks. We find key differences between ‘core’ and ‘periphery’ countries. For the ‘core’ countries, stocks and long-term bond returns are always negatively related regardless of the shock source or the prevailing market conditions; while in the ‘periphery’ countries, this relationship is reversed during stock market downturns and can depend on whether the shock originated in the stock or bond market. This limits the portfolio diversification benefits of holding domestic sovereign bonds in these countries.
Boubaker, Sabri and Nguyen, Duc Khuong
Grant Details