Time-Varying Comovement of Chinese Stock and Government Bond Markets: Flight to Safe Haven

Hyunchul Lee, Kyungtag Lee and Xinrong Zhang

Emerging Markets Finance and Trade, 2019, vol. 55, issue 13, 3058-3068

Abstract: This article examines the impact of financial market uncertainty on comovement between Chinese government bond and stock markets proxied by realized correlations of the asset returns over the whole sample period 2003Q.2–2016Q.4. We find evidence that a future financial market uncertainty has a negative effect on the comovement between the two markets. This suggests that the flight to safe haven phenomenon remains valid for interdependence of Chinese stock and government bond markets. Our main finding is crucial for joint pricing for stock and bond assets in their portfolios and for stabilizing the financial markets.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2018.1543583 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:55:y:2019:i:13:p:3058-3068

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2018.1543583

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().