Spillovers across High Yield Markets

Julius Moschitz ()

Finance from University Library of Munich, Germany

Abstract: This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets provides substantial diversification benefits. What is more, most correlations among assets do not increase, rather decrease, during financial crisis.

Keywords: Asset allocation; Financial crisis; Time-varying correlations; Regime-switching models; Emerging market bonds; Corporate bonds; Stock market. (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2004-12-29
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: Type of Document - pdf; pages: 43
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0412024

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