Flight-to-quality between global stock and bond markets in the COVID era
Stephanos Papadamou (),
Dimitris Kenourgios () and
Dimitrios Dimitriou ()
Finance Research Letters, 2021, vol. 38, issue C
We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specification and a wavelet analysis. Our empirical results demonstrate that flights occur simultaneously across countries and are not country-specific events. This finding suggests that the two largest asset classes offered diversification to investors during the recent crisis, when they actually needed it the most.
Keywords: COVID-19 pandemic; Flight-to-quality; Stock-bond returns correlation; Google trends; Wavelets; Panel regression JEL codes C33; G12; G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316664
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