Stock-bond decoupling before and after the 2008 crisis

Autor:	Eduardo Acosta González, Julián Andrada Félix, Fernando Fernández Rodríguez
Rok vydání:	2015
Předmět:	Economics and Econometrics 050208 finance Bond 05 social sciences Government debt Diversification (finance) Financial system 0502 economics and business Financial crisis Economics Government bond Stock market 050207 economics Volatility (finance) Stock (geology)
Zdroj:	Applied Economics Letters. 23:465-470
ISSN:	1466-4291 1350-4851
DOI:	10.1080/13504851.2015.1083072
Popis:	In this article, we analyse the co-movements of daily stock prices and government bond prices during the last 25 years, in major Western stock markets, extending previous results to take into account the impact of the current crisis. Our results confirm that bonds are viewed as instruments for improving portfolio diversification in periods of high volatility and falling stock market levels, which is when such diversification is most needed. The possibility of using government debt in portfolios as a means of hedging during times of financial crisis became especially apparent in the crises of 1997, 2001 and 2008. Nevertheless, during the current one, this diversification quality of bonds has disappeared in countries like Italy or Spain, which are also affected by sovereign debt issues.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::418d2df21c53b9ada1d5ceeee52d7139 https://doi.org/10.1080/13504851.2015.1083072 Zobrazit plný text záznamu