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...
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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/ |