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- W3204566312 abstract "ABSTRACTThe COVID-19 pandemic has caused stock market crashes and collapse of economic activities in many countries. As a result, many investors changed their stock and bond market expectations. This study investigates whether the number of COVID-19 confirmed cases influences the forward-looking stock-bond correlations. We apply a quantile approach that is beneficial to explore non-linear relationships between the forward-looking stock-bond return correlations and the COVID-19 cases. The correlations are estimated using the DCC-GARCH model for 21 financial markets from three regions (North American, Asia-Pacific, and Europe). We present empirical evidence that there are heterogeneous responses across regions and countries. Specifically, the negative stock-bond correlations weaken as the number of COVID-19 cases in the regions of North America (the U.S. and Canada) and Asia-Pacific (Australia and Japan) increases. Our results suggest that the number of COVID-19 cases is not important. Investors sell risky stocks and buy safe Treasury bonds at the beginning of the pandemic, while they adjust their portfolios risk levels when they obtain more information. Our result also highlights that this pattern is not observed in European countries.KEYWORDS: Stock-bond correlationsCOVID-19DCC-GARCHInternational financial marketsJEL CLASSIFICATION: C32G01G15 Data availability statementThe data will be available based on a request from the authors. The data that support the findings of this study are available from the corresponding author upon a reasonable request.Disclosure statementThere are no relevant financial or non-financial competing interests to report.Notes1 The details are provided by the author's website. https://sites.google.com/site/rsakemotohomepage/reserachAdditional informationFundingThis work was supported by JSPS KAKENHI Grant Number 19K1373801 and YJLX2013;China University of Political Science and Law [JG2021A028]." @default.
- W3204566312 created "2021-10-11" @default.
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- W3204566312 date "2021-09-30" @default.
- W3204566312 modified "2023-10-14" @default.
- W3204566312 title "COVID-19 and the forward-looking stock-bond return relationship" @default.
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- W3204566312 doi "https://doi.org/10.1080/13504851.2021.1985060" @default.
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