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.
Keywords: Equity and bond markets comovement, EMU, Realised correlations,
Quantile regression.
학회소식
[2011년 제 2차] Time-varying EU equity and government bond market c
작성자 : 관리자
조회수 : 1112
게시일 :
2011-06-03
