Intra-Market Correlations in the Bond Markets: Extending Empirical Regularities from the Equity Markets

This paper examines the empirical literature on financial market contagion in Asia during the 1997–98 financial crises with respect to existing tests of contagion. Empirical evidence shows that contagion affects both developed and emerging markets and does not seem to vary with the relative fundamental economic health or trade and financial linkages of the Asian economies. Contagion occurs across both asset types and geographical borders and tends to have larger effects in equity markets than in currency and bond markets. There is evidence to support the hypothesis that contagion is regional and transmitted through developed markets. A discussion of the behavior of correlation coefficients in the presence of contagion and financial crises suggests that they are not a reliable metric for detecting contagion.

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SNB move will accentuate bond-equity divergence

Emerald Expert Briefings ◽

10.1108/oxan-db197067 ◽

2015 ◽

Keyword(s):

Euro Area ◽

Yield Curve ◽

Equity Markets ◽

Bond Markets ◽

Quantitative Easing ◽

Bond Yields ◽

Content Type ◽

Sovereign Bond ◽

Advanced Economies ◽

The Us

Significance The move mainly aims to pre-empt the widely anticipated launch of a sovereign quantitative easing (QE) programme by the ECB on January 22. However, it will accentuate divergences between bond and equity markets. Sovereign bond yields for most advanced economies are falling to new lows and are increasingly negative at the shorter end of the yield curve, because of deflation fears and lacklustre growth outlooks. Yet equity markets are hovering near record highs, buoyed by the US recovery and expectations of further monetary stimulus in the euro-area. Impacts Bond markets will be driven by deflation fears, while equity markets, especially US stocks, will be buoyed by Goldilocks-type conditions. Market expectations that the ECB will launch a sovereign QE programme will make bond yields fall further. Bond yields will be suppressed by investor scepticism about the ECB's ability to reflate the euro-area economy.

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Prospects for the global economy to end-2017

Emerald Expert Briefings ◽

10.1108/oxan-db221230 ◽

2017 ◽

Keyword(s):

Economic Activity ◽

Global Economy ◽

Equity Markets ◽

Trade Flows ◽

Bond Markets ◽

Content Type ◽

The World ◽

Global Concern ◽

Near Term ◽

Leadership Changes

Subject PROSPECTS: H2 2017: Global economy Significance Despite concerns over elections, leadership changes and economic risks, equity markets have strengthened on expectations of higher GDP growth and inflation while bond markets have remained steady. Economic activity has improved across the world, underpinning confidence. Trade flows have picked up, and the oil price has settled higher than in the first eleven months of 2016. The uncertainty surrounding US policy -- notably interest rate trends -- remains a global concern, but near-term risks are specific rather than systemic.

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Koruna is likeliest in Central Europe to rise further

Emerald Expert Briefings ◽

10.1108/oxan-db221518 ◽

2017 ◽

Keyword(s):

Growth Rate ◽

Czech Republic ◽

Developing Economies ◽

Equity Markets ◽

Central Banks ◽

Bond Markets ◽

The Czech Republic ◽

Content Type ◽

National Bank ◽

Positive Sentiment

Subject The rally in Central Europe’s currencies despite the dovish stance of most of the region’s central banks. Significance The zloty has shot up against the euro this year; the koruna has strengthened sharply in response to the removal by the Czech National Bank (CNB) of its euro rate cap; even the forint has firmed by 2.2% against the euro since mid-December. Central Europe’s currencies are benefiting from reflationary pressures (particularly in the Czech Republic), inflows into equity and local bond markets, and positive sentiment towards developing economies. Impacts The 40-bp fall in 10-year US Treasury yields since mid-March will buoy world equity markets and encourage more exposure to EM ‘risk assets’. The 6% fall in the dollar index against a basket of currencies since early January is contributing to sharp euro and yen rises. Germany’s economy is performing strongly, in the first quarter enjoying its fastest growth rate in a year. This is underpinning expansion in Central Europe’s economies, particularly in Hungary and the Czech Republic.

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Attention will turn to policy scope to fight recession

Emerald Expert Briefings ◽

10.1108/oxan-db243512 ◽

2019 ◽

Keyword(s):

Federal Reserve ◽

Equity Markets ◽

Central Banks ◽

Equity Market ◽

Bond Markets ◽

Content Type ◽

China Trade ◽

The Us ◽

Equity Funds ◽

Global Equity Markets

Significance The dovish U-turns by the US Federal Reserve (Fed) and the ECB, which were withdrawing monetary stimulus as recently as end-2018, are accentuating concerns that the leading central banks lack the firepower to fight the next recession. Creating confusion, global equity markets are surging but bond markets are growing more pessimistic. Impacts The Chinese equity market is surging as investors anticipate some form of US-China trade deal, but any boost is likely to be temporary. US equities have rebounded this year, but the outflows from US equity funds that began in October will continue and may rise amid anxiety. Chinese growth was slowing even before the tariffs and worries are rising that this, more than trade, will increasingly hit world growth.

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Volatility Spillovers between Equity and Green Bond Markets

Sustainability ◽

10.3390/su12093722 ◽

2020 ◽

Vol 12 (9) ◽

pp. 3722 ◽

Cited By ~ 2

Author(s):

Daehyeon Park ◽

Jiyeon Park ◽

Doojin Ryu

Keyword(s):

Equity Markets ◽

Spillover Effects ◽

The Other ◽

Bond Markets ◽

Volatility Spillover ◽

Asymmetric Volatility ◽

Volatility Spillovers ◽

Financial Products ◽

Return Dynamics ◽

Positive Return

This study examines the market for green bonds, which have been in the spotlight as an eco-friendly investment product. We analyze the volatility dynamics and spillovers between the equity and green bond markets. As the return dynamics of financial products typically exhibit asymmetric volatility, we check whether green bonds also share this property. Our analyses confirm that although green bonds do exhibit the asymmetric volatility phenomenon, their volatility, unlike that of equity, is also sensitive to positive return shocks. An analysis of the association between the green bond and equity markets confirms that although the two markets have some volatility spillover effects, neither responds significantly to negative shocks in the other market.

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