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Flavin, Thomas and Lagoa-Varela, Dolores (2016) Do long-term bonds hedge equity risk? Evidence from Spain. Working Paper N275-16. Working Paper. Economics, Finance and Accounting Department, Maynooth University.
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Abstract
We analyze the relationship between returns on equity and long-term government bonds in the Spanish economy. In particular, we are interested in the stability of the relationship across differing market conditions and if long-term bonds deliver diversification benefits during periods of equity market turbulence. Employing a Markov-switching vector autoregression model with three regimes, we find that the Spanish stock-bond relationship varies across market conditions and is positively correlated during ‘Bear’ markets. A sectoral analysis reveals that two sectors – Financials and Oil & Gas – are responsible for this positive comovement with the former being relatively more important.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | Cite as: Thomas Flavin & Dolores Lagoa-Varela, 2016. "Do long-term bonds hedge equity risk? Evidence from Spain," Economics, Finance and Accounting Department Working Paper Series N275-16.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. |
| Keywords: | Stock-bond relationship; diversification; Spanish financial markets; |
| Academic Unit: | Faculty of Social Sciences > School of Business |
| Item ID: | 13573 |
| Depositing User: | Thomas Flavin |
| Date Deposited: | 12 Nov 2020 16:46 |
| Publisher: | Economics, Finance and Accounting Department, Maynooth University |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/13573 |
| 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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