International Journal of Management and Applied Science (IJMAS)
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Volume-5,Issue-7  ( Jul, 2019 )
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Statistics report
Sep. 2019
Submitted Papers : 80
Accepted Papers : 10
Rejected Papers : 70
Acc. Perc : 12%
Issue Published : 65
Paper Published : 4063
No. of Authors : 8344
  Journal Paper




Paper Title :
Multiscale Stock-Bond Return Relations and Macroeconomic Factors: Evidence from G7 Countries

Author :Fu-Lai Lin, Yu-Fen Chen

Article Citation :Fu-Lai Lin ,Yu-Fen Chen , (2018 ) " Multiscale Stock-Bond Return Relations and Macroeconomic Factors: Evidence from G7 Countries " , International Journal of Management and Applied Science (IJMAS) , pp. 23-29, Volume-4,Issue-1

Abstract : This paper aims to investigate the time variation features of stock-bond return relations and examine how macroeconomic conditions affect dynamic relations across different frequencies. The data covers seven major industrialized economies: United States (USA), Canada, United Kingdom (UK), France, Germany, Italy, and Japan for the sample period April 2, 1991 through December 31, 2014. First, wavelet coherency results show that the stock-bond relations vary across frequencies and over time. The relations shift from sizably positive to predominantly negative in the late 1990s in most G7 countries, except for Japan. Moreover, stock-bond return relations across different frequencies are driven by global and country-specific economic and financial market conditions for each country. We find that an increase in the domestic bond market uncertainty may increase the stock-bond relation, while an increase in the domestic stock market uncertainty tends to reduce the relation. In addition, stock-bond return relations have positive sign sensitivity to TED spread, while their sensitivity to global stock market volatility is negative. Thus, the empirical findings serve to guide not only investors in making their portfolio allocations, but also policy makers in monitoring financial markets by observing changes in domestic and global macroeconomic conditions. Keywords - Global and country-specific economic and financial conditions, Stock-bond return relations, Wavelet analysis

Type : Research paper


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