Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42500
Title: Stock-bond decoupling before and after the 2008 crisis
Authors: Acosta González, Eduardo 
Andrada Félix, Julián 
Fernández Rodríguez, Fernando 
UNESCO Clasification: 530401 Consumo, ahorro, inversión
53 Ciencias económicas
Keywords: Crisis
Decoupling
Portfolio diversification
Stock-bond correlation
Issue Date: 2016
Journal: Applied Economics Letters 
Abstract: In this article, we analyse the co-movements of daily stock prices and government bond prices during the last 25 years, in major Western stock markets, extending previous results to take into account the impact of the current crisis. Our results confirm that bonds are viewed as instruments for improving portfolio diversification in periods of high volatility and falling stock market levels, which is when such diversification is most needed. The possibility of using government debt in portfolios as a means of hedging during times of financial crisis became especially apparent in the crises of 1997, 2001 and 2008. Nevertheless, during the current one, this diversification quality of bonds has disappeared in countries like Italy or Spain, which are also affected by sovereign debt issues.
URI: http://hdl.handle.net/10553/15484
ISSN: 1350-4851
DOI: 10.1080/13504851.2015.1083072
Source: Applied Economics Letters [ISSN 1350-4851], v. 23 (7), p. 465-470
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