Cross-asset contagion in times of stress

Vassilios Papavassiliou

Journal of Economics and Business, 2014, vol. 76, issue C, 133-139

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.

Keywords: Cross-asset contagion; Greek debt-crisis; Time-varying correlations (search for similar items in EconPapers)
JEL-codes: C10 G10 G11 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:76:y:2014:i:c:p:133-139

DOI: 10.1016/j.jeconbus.2014.02.002

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