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Spillovers across High Yield Markets

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  • Julius Moschitz

Abstract

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets provides substantial diversification benefits. What is more, most correlations among assets do not increase, rather decrease, during financial crisis.

Suggested Citation

  • Julius Moschitz, 2004. "Spillovers across High Yield Markets," Finance 0412024, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0412024
    Note: Type of Document - pdf; pages: 43
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0412/0412024.pdf
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    References listed on IDEAS

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    6. Roberto Rigobon & Brian Sack, 2003. "Spillovers Across U.S. Financial Markets," NBER Working Papers 9640, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.

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    More about this item

    Keywords

    Asset allocation; Financial crisis; Time-varying correlations; Regime-switching models; Emerging market bonds; Corporate bonds; Stock market.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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