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Uncertainty Due to Infectious Diseases and Stock–Bond Correlation

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  • Konstantinos Gkillas

    (Department of Management Science & Technology, University of Patras, Megalou Aleksandrou 1, Koukouli, 26334 Patras, Greece)

  • Christoforos Konstantatos

    (Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26504 Patras, Greece)

  • Costas Siriopoulos

    (College of Business, Zayed University, Abu Dhabi P.O. Box 144534, United Arab Emirates)

Abstract

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

Suggested Citation

  • Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, vol. 9(2), pages 1-18, April.
    • Handle: RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153
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