The stock–bond comovements and cross-market trading
作者： Mengling Li , Huanhuan Zheng , Terence Tai Leung Chong , Yang Zhang
DOI: 10.1016/J.JEDC.2016.10.007
关键词: Bond market 、 Bond 、 Capital asset pricing model 、 Financial economics 、 Stock (geology) 、 Bond market index 、 Vector autoregression 、 Comparative advantage 、 Economics 、 Stock market
摘要: Abstract We propose an asset pricing model with heterogeneous agents allocating capital to the stock and bond markets optimize their portfolios, utilizing dynamic interaction between two markets. While some focus on market have more expertise in it, others specialize market. Based comparative advantages a particular market, constantly revise investment portfolios by taking into account time-varying stock–bond return comovements changing conditions. Agents׳ collective behavior shapes interlinkage, which feedbacks subsequent allocations. Using monthly US data from January 1990 June 2014, we estimate vector autoregression threshold Markov switching mechanisms. find evidence support of flight-to-quality show that it is mainly driven technical traders who actively sell stocks buy bonds during periods high uncertainty.
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