Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we show has important implications for international diversification of investment strategies. Moreover, we also examine in detail stock–bond correlations and uncover several instances of decoupling. In contrast, developed markets exhibit a more stable dependence pattern. In addition, we document that the degree and structure of dependence vary when foreign currencies are hedged or unhedged, and across ...
In this essay, we analyze the dependence structures of equity, bond and money markets in Australia, ...
AbstractThis paper investigates the time varying nature of the determinants of bond flows with a foc...
The development of government bond markets and in particular their currency composition have recentl...
This paper investigates the effect of financial development on government bond returns in developed ...
The finance literature provides substantial evidence on the dependence between international bond ma...
Equity returns are more dependent in bear markets than in bull markets. Previous studies have argued...
In this essay, we analyze the dependence structures of equity, bond and money markets in Australia, ...
This paper examines the comovement in emerging market bond returns and disentangles the influence of...
This paper empirically assesses co-movements in emerging market bond returns and disentangles the ro...
This paper investigates the time varying nature of the determinants of bond flows with a focus on th...
We employ government bond portfolios from 17 countries in order to investigate the short-run reactio...
The correlation between stock market returns and government bond yields is helping investors to dive...
We analyze the relationship between returns on equity and long-term government bonds in the crisis-h...
A number of recent studies finds two asymmetries in dependence structures in international equity ma...
We analyze the relationship between returns on equity and long-term government bonds in the crisis-h...
In this essay, we analyze the dependence structures of equity, bond and money markets in Australia, ...
AbstractThis paper investigates the time varying nature of the determinants of bond flows with a foc...
The development of government bond markets and in particular their currency composition have recentl...
This paper investigates the effect of financial development on government bond returns in developed ...
The finance literature provides substantial evidence on the dependence between international bond ma...
Equity returns are more dependent in bear markets than in bull markets. Previous studies have argued...
In this essay, we analyze the dependence structures of equity, bond and money markets in Australia, ...
This paper examines the comovement in emerging market bond returns and disentangles the influence of...
This paper empirically assesses co-movements in emerging market bond returns and disentangles the ro...
This paper investigates the time varying nature of the determinants of bond flows with a focus on th...
We employ government bond portfolios from 17 countries in order to investigate the short-run reactio...
The correlation between stock market returns and government bond yields is helping investors to dive...
We analyze the relationship between returns on equity and long-term government bonds in the crisis-h...
A number of recent studies finds two asymmetries in dependence structures in international equity ma...
We analyze the relationship between returns on equity and long-term government bonds in the crisis-h...
In this essay, we analyze the dependence structures of equity, bond and money markets in Australia, ...
AbstractThis paper investigates the time varying nature of the determinants of bond flows with a foc...
The development of government bond markets and in particular their currency composition have recentl...