The stock-bond nexus and investors’ behavior in mature and emerging markets : evidence from long-term historical data
dc.contributor.author | Selmi, Refk | |
dc.contributor.author | Gupta, Rangan | |
dc.contributor.author | Kollias, Christos | |
dc.contributor.author | Papadamou, Stephanos | |
dc.date.accessioned | 2019-08-12T09:19:48Z | |
dc.date.available | 2019-08-12T09:19:48Z | |
dc.date.issued | 2021-07 | |
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. | en_ZA |
dc.description.department | Economics | en_ZA |
dc.description.librarian | hj2019 | en_ZA |
dc.description.uri | https://www.emerald.com/insight/publication/issn/1086-7376 | en_ZA |
dc.identifier.citation | Selmi, R., Gupta, R., Kollias, C. and Papadamou, S. (2021), "The stock-bond nexus and investors’ behavior in mature and emerging markets: Evidence from long-term historical data", Studies in Economics and Finance, Vol. 38 No. 3, pp. 562-582. https://doi.org/10.1108/SEF-08-2017-0224. | en_ZA |
dc.identifier.issn | 1086-7376 (print) | |
dc.identifier.issn | 1755-6791 (online) | |
dc.identifier.other | 10.1108/SEF-08-2017-0224 | |
dc.identifier.uri | http://hdl.handle.net/2263/70946 | |
dc.language.iso | en | en_ZA |
dc.publisher | Emerald | en_ZA |
dc.rights | © 2019, Emerald Publishing Limited | en_ZA |
dc.subject | Copula quantile-on-quantile regression (C-QQR) | en_ZA |
dc.subject | Copula | en_ZA |
dc.subject | Quantile regression | en_ZA |
dc.subject | Stock-bond nexus | en_ZA |
dc.title | The stock-bond nexus and investors’ behavior in mature and emerging markets : evidence from long-term historical data | en_ZA |
dc.type | Postprint Article | en_ZA |