Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

doi:10.1186/s40854-017-0055-z

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	Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis
	Cheng,Ke 1; Yang,Xiaoguang1,2
刊名	Financial Innovation
	2017-04-09
卷号	3 期号:1
ISSN号	2199-4730
DOI	10.1186/s40854-017-0055-z
英文摘要	AbstractBackgroundOnce a global financial crisis breaks out, the interdependence between different financial markets suddenly increases and leads to a significant contagion.MethodsWith 39 countries used as samples, this paper analyzes the interdependence between the stock market and the government bond market during the crisis periods.ResultsIt proves that the investor focuses more on the safety of their portfolio so there is neither a flight from quality nor a positive spillover during a crisis period. When one market is safer than the other market in the same country, a flight to quality occurs between the two markets; however, when the two markets in one country are both risky, negative spillover appears between these two markets.ConclusionsThis means a flight to quality from the stock market to the short-term government bond will occur more frequently than will occur from the stock market to the long-term government bond markets. In addition, a flight to quality always emerges in developed markets, while negative spillovers take place in emerging markets and in the PIIGS countries (Portugal, Italy, Ireland, Greece, and Spain, referred to hereon as “PIIGS”) in the European Debt Crisis.
语种	英语
出版者	Springer Berlin Heidelberg
WOS记录号	BMC:10.1186/S40854-017-0055-Z
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/368]
专题	系统科学研究所
通讯作者	Cheng,Ke
作者单位	1.China University of Petroleum 2.Academy of Mathematics and Systems Sciences, China’s Academy of Sciences
推荐引用方式 GB/T 7714	Cheng,Ke,Yang,Xiaoguang. Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis[J]. Financial Innovation,2017,3(1).
APA	Cheng,Ke,&Yang,Xiaoguang.(2017).Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis.Financial Innovation,3(1).
MLA	Cheng,Ke,et al."Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis".Financial Innovation 3.1(2017).