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Cross-asset contagion in times of stress

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  • Papavassiliou, Vassilios G.

Abstract

Empirical evidence of cross-asset market linkages when bond markets plunge is scarce in the co-movement correlation literature. In this note we investigate stock–sovereign bond return correlations focusing on the Greek debt crisis period. We show that the return correlation between the two asset classes has increased during the crisis period and contagion has occurred. We conclude that stock–bond diversification benefits decrease with bond market uncertainty.

Suggested Citation

  • Papavassiliou, Vassilios G., 2014. "Cross-asset contagion in times of stress," Journal of Economics and Business, Elsevier, vol. 76(C), pages 133-139.
    • Handle: RePEc:eee:jebusi:v:76:y:2014:i:c:p:133-139
    DOI: 10.1016/j.jeconbus.2014.02.002
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    Cited by:

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    2. Mohamed Ali Trabelsi & Salma Hmida, 2019. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," Journal Transition Studies Review, Transition Academia Press, vol. 26(1), pages 3-14.
    3. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    4. Jana Vychytilová, 2014. "Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 62(6), pages 1509-1519.
    5. Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.

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    More about this item

    Keywords

    Cross-asset contagion; Greek debt-crisis; Time-varying correlations;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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