Realized bond—stock correlation: Macroeconomic announcement effects

Charlotte Christiansen and Angelo Ranaldo

Journal of Futures Markets, 2007, vol. 27, issue 5, 439-469

Abstract: The authors investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. It was found that it is not so much the surprise component of the announcement, but the mere fact that an announcement occurs that influences the realized bond—stock correlation. The impact of macroeconomic announcements varies across the business cycle. Announcement effects are highly dependent on the sign of the realized bond—stock correlation, which has recently gone from positive to negative. Macroeconomic announcement effects on realized bond and stock volatilities are also investigated. Our results are robust across 8:30 A.M. and 10:00 A.M. announcements. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:439—469, 2007

Date: 2007
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Working Paper: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects (2006)
Working Paper: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects (2005)
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