Flavin, Thomas and Lagoa-Varela, Dolores (2021) On the stability of stock-bond comovements across market conditions in the Eurozone periphery. Global Finance Journal, 49. p. 100491. ISSN 10440283

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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:	Article
Keywords:	Stock-bond relationship; Eurozone peripheral countries; Financial crisis; Safe haven;
Academic Unit:	Faculty of Social Sciences > School of Business
Item ID:	17216
Identification Number:	https://doi.org/10.1016/j.gfj.2019.100491
Depositing User:	Thomas Flavin
Date Deposited:	23 May 2023 11:20
Journal or Publication Title:	Global Finance Journal
Publisher:	Elsevier
Refereed:	Yes
URI:	Publisher
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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