COVID-19 and the forward-looking stock-bond return relationship
COVID-19 and the forward-looking stock-bond return relationship
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DOI：
10.1080/13504851.2021.1985060
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发表时间：
2021-03
影响因子：
1.6
通讯作者：
X. Cai;Yingnan Cong;Ryuta Sakemoto
中科院分区：
文献类型：
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作者：
X. Cai;Yingnan Cong;Ryuta Sakemoto
摘要 COVID-19 大流行导致许多国家股市崩盘和经济活动崩溃。结果，许多投资者改变了对股票和债券市场的预期。本研究调查了 COVID-19 确诊病例数是否会影响前瞻性股票债券相关性。我们采用分位数方法，有利于探索前瞻性股票债券回报相关性与 COVID-19 病例之间的非线性关系。使用 DCC-GARCH 模型对来自三个地区（北美、亚太和欧洲）的 21 个金融市场估计相关性。我们提供的经验证据表明，不同地区和国家的反应存在差异。具体而言，随着北美地区（美国和加拿大）和亚太地区（澳大利亚和日本）的 COVID-19 病例数量增加，股债负相关性减弱。我们的结果表明，COVID-19 病例的数量并不重要。投资者在疫情初期出售风险股票并购买安全国债，同时在获得更多信息后调整投资组合的风险水平。我们的结果还强调，欧洲国家没有观察到这种模式。
ABSTRACT The 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.