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Media type:
E-Article
Title:
Extreme Correlation of Stock and Bond Futures Markets: International Evidence
Contributor:
Chui, Chin Man;
Yang, Jian
imprint:
Wiley, 2012
Published in:Financial Review
Language:
English
DOI:
10.1111/j.1540-6288.2012.00340.x
ISSN:
0732-8516;
1540-6288
Origination:
Footnote:
Description:
<jats:title>Abstract</jats:title><jats:p>This study explores time‐varying extreme correlation of stock–bond futures markets in three major developed countries. In the United States and the United Kingdom, there is evidence of positive extreme stock–bond correlation when both futures markets are extremely bullish or bearish. In Germany, stock–bond futures extreme correlation is negative, suggesting the most diversification potentials of bond futures when German stock index futures market plunges. Macroeconomic news, the business cycle, and the stock market uncertainty all significantly affect the median stock–bond futures correlation. However, only the stock market uncertainty still significantly affects the extreme stock–bond futures correlation when the stock market is extremely bearish.</jats:p>