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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
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
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자료제공 : 네이버학술정보