Artikel
Risk and policy uncertainty on stock-bond return correlations: Evidence from the US markets
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in stock and bond markets. Tests show that stock-bond relations are positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively correlated with returns of S&P500 (Total market), the NASDAQ Composite Index (NASDAQ), and the RUSSELL 2000 (RUSSELL).
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-16 ; Basel: MDPI
- Classification
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Wirtschaft
Hypothesis Testing: General
Estimation: General
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
- Subject
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stock-bond correlation
VIX
economic policy uncertainty
monetary policy uncertainty
fiscal policy uncertainty
- Event
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Geistige Schöpfung
- (who)
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Chiang, Thomas C.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2020
- DOI
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doi:10.3390/risks8020058
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chiang, Thomas C.
- MDPI
Time of origin
- 2020
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