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Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

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Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas

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Jammazi, Rania; Tiwari, Aviral Kr.; Ferrer Lapeña, Román; Moya Martínez, Pablo

Aquest document és un/a article, creat/da en: 2015

This paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades by using a dynamic DCC-GARCH-copula model. This approach allows obtaining a flexible and comprehensive description of the time variation in the linkage between stock and bond markets. The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries. In particular, a positive stock-bond association is observed during the 1990s, while the relationship becomes negative from the early 2000s,supporting the presence of flight-to-quality effects. In addition,no evidence of asymmetric and tail dependence is found for the vast majority of country

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