Dynamic Correlation of Stock and Bond Return in Five Asian Markets with Determinants of Macroeconomic Conditions and Market Uncertainty

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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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Bibliographic Details
Main Author:	Zheng, Junyang
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2015
Online Access:	https://eprints.nottingham.ac.uk/28607/

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