Mostra i principali dati dell'item
The stock-bond nexus and investors’ behavior in mature and emerging markets: Evidence from long-term historical data
dc.creator | Selmi R., Gupta R., Kollias C., Papadamou S. | en |
dc.date.accessioned | 2023-01-31T09:55:03Z | |
dc.date.available | 2023-01-31T09:55:03Z | |
dc.date.issued | 2019 | |
dc.identifier | 10.1108/SEF-08-2017-0224 | |
dc.identifier.issn | 10867376 | |
dc.identifier.uri | http://hdl.handle.net/11615/78890 | |
dc.description.abstract | Purpose: Portfolio construction and diversification is a prominent challenge for investors. It reflects market agents’ behavior and response to market conditions. This paper aims to investigate the stock-bond nexus in the case of two emerging and two mature markets, India, South Africa, the UK and the USA, using long-term historical monthly data. Design/methodology/approach: To address the issue at hand, copula quantile-on-quantile regression (C-QQR) is used to model the correlation structure. Although this technique is driven by copula-based quantile regression model, it retains more flexibility and delivers more robust and accurate estimates. Findings: Results suggest that there is substantial heterogeneity in the bond-stock returns correlation across the countries under study point to different investors’ behavior in the four markets examined. Additionally, the findings reported herein suggest that using C-QQR in portfolio management can enable the formation of tailored response strategies, adapted to the needs and preferences of investors and traders. Originality/value: To the best of the authors’ knowledge, no previous study has addressed in a comparative setting the stock-bond nexus for the four countries used here using long-term historical data that cover the periods 1920:08-2017:02, 1910:01-2017:02, 1933:01-2017:02 and 1791:09-2017:02 for India, South Africa, the UK and the USA, respectively. © 2019, Emerald Publishing Limited. | en |
dc.language.iso | en | en |
dc.source | Studies in Economics and Finance | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106433773&doi=10.1108%2fSEF-08-2017-0224&partnerID=40&md5=6676e8101d1a408184e3185e7baa302f | |
dc.subject | Emerald Group Holdings Ltd. | en |
dc.title | The stock-bond nexus and investors’ behavior in mature and emerging markets: Evidence from long-term historical data | en |
dc.type | journalArticle | en |
Files in questo item
Files | Dimensione | Formato | Mostra |
---|---|---|---|
Nessun files in questo item. |