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European sovereign bond and stock market Granger causality dynamic
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Gomes, Pedro, Kurter, Zeynep O. and Morita, Rubens (2022) European sovereign bond and stock market Granger causality dynamic. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS), 1405 . (Unpublished)
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Official URL: https://warwick.ac.uk/fac/soc/economics/research/w...
Abstract
We investigate the lead-lag relationship between weekly sovereign bond yield changes and stock market returns for eight European countries, and how it changed during the period 2008-2018. We use a Markov-Switching Granger Causality method that determines reversals of causality endogenously. In all countries, there were often changes in the direction of the Granger causality between the two markets that coincided with global and idiosyncratic economic events. Stock returns led changes of sovereign bond yields in all countries, particularly during the financial and the Euro Area crisis. Changes of sovereign bond yields occasionally led stock returns in France, Spain and Portugal.
Item Type: | Working or Discussion Paper (Working Paper) | ||||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics | ||||||
Library of Congress Subject Headings (LCSH): | Stock exchanges, Autoregression (Statistics), Markov processes, Diffusion processes, Mathematical optimization, Financial crises, Bonds | ||||||
Series Name: | Warwick economics research papers series (WERPS) | ||||||
Publisher: | University of Warwick. Department of Economics | ||||||
Place of Publication: | Coventry | ||||||
ISSN: | 0083-7350 | ||||||
Official Date: | April 2022 | ||||||
Dates: |
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Volume: | 1405 | ||||||
Institution: | University of Warwick | ||||||
Status: | Not Peer Reviewed | ||||||
Publication Status: | Unpublished | ||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||
Date of first compliant deposit: | 12 March 2018 | ||||||
Date of first compliant Open Access: | 12 March 2018 |
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