Flavin, Thomas and Lagoa-Varela, Dolores
(2019)
On the stability of stock-bond comovements across market conditions in the Eurozone periphery: Working Paper N295-19.
Working Paper.
Department of Economics Finance & Accounting, Maynooth University.
Abstract
We analyze the relationship between returns on equity and long-term government bonds in the crisis-hit
Eurozone peripheral economies. In particular, we are interested in the stability of the relationship across
differing market conditions and if long-term bonds act as a safe haven for equity investors during periods
of financial distress. Employing a Markov-switching vector autoregression model with three regimes, we
find that the stock-bond relationship varies across market conditions and across countries. Overall we
observe increased comovement during the crisis regimes at the market level, with the relationship between
the financial sectors and the domestic sovereign bond being its most important driver across countries.
| Item Type: |
Monograph
(Working Paper)
|
| Additional Information: |
Cite as: Thomas J.Flavin & Dolores Lagoa-Varela, 2019. "On the stability of Stock-bond comovements across market conditions in the Eurozone periphery," Economics, Finance and Accounting Department Working Paper Series n295-19.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. |
| Keywords: |
Stock-bond relationship; Eurozone peripheral countries; financial crisis; safe haven;
JEL Classification; G01; G11; C32; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
13558 |
| Depositing User: |
Thomas Flavin
|
| Date Deposited: |
12 Nov 2020 16:17 |
| Journal or Publication Title: |
Global Finance Journal |
| Publisher: |
Department of Economics Finance & Accounting, Maynooth University |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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