|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Multiscale Stock-Bond Correlation: Implications for Risk Management|
|Citation:||Alrababa'a A, Alomari M & McMillan D (2021) Multiscale Stock-Bond Correlation: Implications for Risk Management. Research in International Business and Finance, 58, Art. No.: 101435. https://doi.org/10.1016/j.ribaf.2021.101435|
|Abstract:||This paper examines the multiscale return correlation between the stocks and government bonds of different maturities returns in 25 countries. The analysis reveals that developed markets correlations are generally negative at the first time-scale and move in a positive direction at higher scales. This contrasts with emerging markets, where the correlation tends to be positive throughout. Thus, the results support a greater flight-to-safety effect in developed markets. Further evidence highlights the ability of the correlation to produce portfolios with a lower VaR. Results support this at longer time-scales and for both developed and emerging markets. The results here demonstrate the importance of accounting for time-scales in modelling the stock-bond correlation and in constructing portfolios.|
|Rights:||This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Alrababa'a A, Alomari M & McMillan D (2021) Multiscale Stock-Bond Correlation: Implications for Risk Management. Research in International Business and Finance, 58, Art. No.: 101435. https://doi.org/10.1016/j.ribaf.2021.101435 © 2021, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/|
|Stock_Bond_25_countries_revised_new.pdf||Fulltext - Accepted Version||671.89 kB||Adobe PDF||Under Embargo until 2022-11-30 Request a copy|
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