EconPapers    
Economics at your fingertips  
 

Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets

Nebojsa Dimic, Jarno Kiviaho, Vanja Piljak () and Janne Äijö

Research in International Business and Finance, 2016, vol. 36, issue C, 41-51

Abstract: This paper examines the impact of global financial market uncertainty and domestic macroeconomic factors on stock–bond correlation in emerging markets. In particular, by applying the wavelet analysis approach, we are able to examine stock–bond correlations over different time horizons in ten emerging markets. We find that stock–bond correlation patterns vary significantly between the time horizons. In particular, the correlation in short horizon changes the sign rapidly showing sustainable negative episodes while the correlation in long horizon stays positive most of the time. The most important factor influencing stock–bond correlation in short horizon is the monetary policy stance, while the factors with the greatest long-term impact are inflation and stock market uncertainty. Finally, global stock market uncertainty plays a more significant role than global bond market uncertainty in explaining stock–bond correlations in emerging markets.

Keywords: Stock–bond correlation; Emerging markets; Macroeconomic factors; Financial market uncertainty; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: E44 F30 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531915300064
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:riibaf:v:36:y:2016:i:c:p:41-51

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-05-09
Handle: RePEc:eee:riibaf:v:36:y:2016:i:c:p:41-51