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Co-movement between equity and bond markets

Ryuta Sakemoto

International Review of Economics & Finance, 2018, vol. 53, issue C, 25-38

Abstract: This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets. It reveals that both equity-bond and equity co-movements are important for the developed equity markets. Although the idiosyncratic component plays a substantial role in the emerging equity and bond markets, the global financial crisis has impacted on the co-movement of the emerging equity markets, while does not have an effect on that of the emerging bond markets. The co-movements depend upon market uncertainty measured by VIX.

Keywords: Equity-bond co-movement; Market uncertainty; International market; Market integration; Flight-to-quality (search for similar items in EconPapers)
JEL-codes: C38 F36 G15 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:reveco:v:53:y:2018:i:c:p:25-38