EconPapers    
Economics at your fingertips  
 

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 ().

 
Page updated 2025-03-19
Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s154461231931030x