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Showing 1 to 3 of 3 for “"Stock-bond correlation"”.
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Tactical Allocation Through the Lens of Correlational Time-Variance, Determinants, and Regimes
<p>We investigate correlations among six primary asset classes from January 1982 to December 2022. Our analysis extends existing literature, on the well-researched stock-bond correlation (SBC), by encompassing 14 supplementary asset class dyads and four correlational regimes. We challenge the …
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What drives the correlation between stock and bonds
This research paper investigates the correlation between stocks and bonds in South Africa between 2002 and 2020and further explores the macroeconomic variables which determine these stock bond correlations. South African stock returns are proxied by the FTSE/JSE All Share Total Return Index …
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Essays in Financial Economics
… around 1998, mirroring the change in the stock-bond correlation. The model attributes this phenomenon to the changing covariance between shocks to the risk premium and real risk-free rate, which is consistent with the heightened responsiveness of monetary policy to the stock market (“Fed …