Dynamic correlations and spillover effects between CoCo bonds and other financial assets: Evidence from European banking
Fangfang Li and
Ping Li
Finance Research Letters, 2021, vol. 38, issue C
Abstract:
This paper examines the relationship between European contingent convertible (CoCo) bond, stock and bond issued by banks using daily data. We analyze the dynamic correlation by DCC-GARCH method, and the results indicate that the hybrid security CoCo bonds have a closer relationship with bank stocks than bonds. When systemically important banks expose to bankruptcy threat, there will be an increase in the correlations of the three markets. By the BEKK method, we analyze the spillover effects between these three markets and find that the spillover effects change over time and the CoCo bond market becomes more and more mature.
Keywords: CoCo bonds; Correlation; Spillover; DCC-GARCH; VAR-BEKK-GARCH (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231931030X
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s154461231931030x
DOI: 10.1016/j.frl.2020.101486
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().