재무연구 제 권 호 (2011년 5월)
Asian Review of Financial Research, Vol., No..
pp.1845~1878
pp.1845~1878
Time-varying EU equity and government bond market comovement : A quantile regression approach
Andrea Cipollini Economics Department, University of Modena and Reggio Emilia VialeBerengario 51,I-41100 Modena, Italy
Jerry Coakley Essex Business School, University of Essex, Wievenhoe Park, Colchester,
Hyunchul Lee Schcool of Business Administration Kyungpook National University, Daegu Metropolitan, Korea
This paper examines the impact of financial market uncertainty and of investors’ expectations about future economic states on the comovement between stocks and long term government bonds in Europe. Time-varying financial asset return comovement is proxied by pair wise realised correlations between equity and 10-year government bond returns across 14 EU countries 1992Q4 to 2007Q4. Employing OLS and quantile regression techniques, we find that lower uncertainty increases EU stock and bond market integration post EMU. Investors’ expectations have a negative impact on integration pre EMU but a positive effect thereafter.
Andrea Cipollini
Jerry Coakley
Hyunchul Lee
This paper examines the impact of financial market uncertainty and of investors’ expectations about future economic states on the comovement between stocks and long term government bonds in Europe. Time-varying financial asset return comovement is proxied by pair wise realised correlations between equity and 10-year government bond returns across 14 EU countries 1992Q4 to 2007Q4. Employing OLS and quantile regression techniques, we find that lower uncertainty increases EU stock and bond market integration post EMU. Investors’ expectations have a negative impact on integration pre EMU but a positive effect thereafter.
Equity and bond markets comovement,EMU,Realised correlations,Quantile regression.
