Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty
This paper examines the dynamic correlation between stock and bond returns for five Asian markets with advanced economy. Test Statistics suggest that co-movements of stock-bond return are time-varying over last 15 years in all introduced markets exclude the sample in Taiwan. The stock-bond correlati...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2015
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| Online Access: | https://eprints.nottingham.ac.uk/28607/ |
| _version_ | 1848793607626031104 |
|---|---|
| author | Zheng, Junyang |
| author_facet | Zheng, Junyang |
| author_sort | Zheng, Junyang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper examines the dynamic correlation between stock and bond returns for five Asian markets with advanced economy. Test Statistics suggest that co-movements of stock-bond return are time-varying over last 15 years in all introduced markets exclude the sample in Taiwan. The stock-bond correlations are positively and negatively correlated with expected CPI and GDP, respectively.Besides, the impact from stock uncertainty measured by implied volatility and conditional variance is not dominant among other determinants. Nonetheless, conditional variance of bond market is significantly and negatively correlated with the correlation of stock-bond return with a numerous value of estimation. Next, segmented test is employed to show that macroeconomic conditions have time-varying and cross-sectional effect where the sign of estimation changes over time and countries. Also, phenomenon of ‘flight to quality’ is partially proved in this paper. |
| first_indexed | 2025-11-14T19:02:59Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-28607 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:02:59Z |
| publishDate | 2015 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-286072017-10-19T14:29:44Z https://eprints.nottingham.ac.uk/28607/ Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty Zheng, Junyang This paper examines the dynamic correlation between stock and bond returns for five Asian markets with advanced economy. Test Statistics suggest that co-movements of stock-bond return are time-varying over last 15 years in all introduced markets exclude the sample in Taiwan. The stock-bond correlations are positively and negatively correlated with expected CPI and GDP, respectively.Besides, the impact from stock uncertainty measured by implied volatility and conditional variance is not dominant among other determinants. Nonetheless, conditional variance of bond market is significantly and negatively correlated with the correlation of stock-bond return with a numerous value of estimation. Next, segmented test is employed to show that macroeconomic conditions have time-varying and cross-sectional effect where the sign of estimation changes over time and countries. Also, phenomenon of ‘flight to quality’ is partially proved in this paper. 2015-02 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/28607/1/ZhengJunyang.pdf Zheng, Junyang (2015) Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty. [Dissertation (University of Nottingham only)] |
| spellingShingle | Zheng, Junyang Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty |
| title | Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty |
| title_full | Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty |
| title_fullStr | Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty |
| title_full_unstemmed | Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty |
| title_short | Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty |
| title_sort | dynamic correlation of stock and bond return in five asian markets with determinants of macroeconomic conditions and market uncertainty |
| url | https://eprints.nottingham.ac.uk/28607/ |