Earticle

초록

영어

This paper examines the impact of financial market uncertainty and of investors’ expectations about future economic states on the comovement between stocks and long term government bonds in Europe. Time-varying financial asset return comovement is proxied by pair wise realised correlations between equity and 10-year government bond returns across 14 EU countries 1992Q4 to 2007Q4. Employing OLS and quantile regression techniques, we find that lower uncertainty increases EU stock and bond market integration post EMU. Investors’ expectations have a negative impact on integration pre EMU but a positive effect thereafter.

목차

Abstract
 1. Introduction
 2. Literature review
 3. Methodologies
  3.1 Measuring realised correlations between EU stock and bond returns
  3.2 The Conditional quantile regression
  3.3 Empirical specification for the conditional quantile regressions
 4. Data Issues
  4.1 Stock and Bond returns
  4.2 Explanatory variables
 5. Empirical results
  5.1 Comovements between EU stock and bond markets within each country
  5.2 Robustness analyses
 6. Conclusions
 References
 Table

키워드

저자

• Andrea Cipollini [ Economics Department, University of Modena and Reggio Emilia VialeBerengario 51,I-41100 Modena, Italy ]
• Jerry Coakley [ Essex Business School, University of Essex, Wievenhoe Park, Colchester, ]
• Hyunchul Lee [ Schcool of Business Administration Kyungpook National University, Daegu Metropolitan, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330