STOCK-BOND CO-MOVEMENTS AND FLIGHT-TO-QUALITY IN G7 COUNTRIES: A TIME-FREQUENCY ANALYSIS

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dc.authorscopusid55911617800
dc.authorscopusid56267540900
dc.authorscopusid56267352500
dc.contributor.authorBayraci, Selcuk
dc.contributor.authorDemiralay, Sercan
dc.contributor.authorGencer, Hatice Gaye
dc.date.accessioned2024-09-11T19:57:29Z
dc.date.available2024-09-11T19:57:29Z
dc.date.issued2018
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractThis paper examines co-movement between stock returns and changes in 10-year government bond yields as well as flight-to-quality behaviour in G7 countries. We conduct the wavelet squared coherence analysis to explore the dynamics in both time and frequency domain. Our results provide evidence of positive co-movements, which vary over time and across investment horizon. The higher co-movement is found to be more concentrated in the lower frequency bands. We further analyse the dynamic nature of the scale-dependent wavelet correlations and find that the correlations are highly volatile and significantly increase across different time scales during the episodes of equity market turbulence. The increase in correlations reflects flights from stocks to safer bond investments as a result of dramatic changes in investor sentiment and risk aversion at times of market stress. © 2017 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltden_US
dc.identifier.doi10.1111/boer.12118
dc.identifier.endpageE49en_US
dc.identifier.issn0307-3378en_US
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85018976581en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpageE29en_US
dc.identifier.urihttps://doi.org/10.1111/boer.12118
dc.identifier.urihttps://hdl.handle.net/11363/8286
dc.identifier.volume70en_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherBlackwell Publishing Ltden_US
dc.relation.ispartofBulletin of Economic Researchen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmz20240903_Gen_US
dc.subjectC14; flight-to-quality; G01; G10; stock-bond co-movements; wavelet correlation; wavelet squared coherencyen_US
dc.titleSTOCK-BOND CO-MOVEMENTS AND FLIGHT-TO-QUALITY IN G7 COUNTRIES: A TIME-FREQUENCY ANALYSISen_US
dc.typeArticleen_US

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