Publication: Realized bond-stock correlation: Macroeconomic announcement effects
Realized bond-stock correlation: Macroeconomic announcement effects
Date
Date
Date
| cris.lastimport.scopus | 2025-06-21T03:39:22Z | |
| cris.lastimport.wos | 2025-07-28T01:33:38Z | |
| dc.contributor.institution | University of Zurich | |
| dc.date.accessioned | 2023-08-28T12:42:38Z | |
| dc.date.available | 2023-08-28T12:42:38Z | |
| dc.date.issued | 2007-05 | |
| dc.description.abstract | The authors investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. It was found that it is not so much the surprise component of the announcement, but the mere fact that an announcement occurs that influences the realized bond—stock correlation. The impact of macroeconomic announcements varies across the business cycle. Announcement effects are highly dependent on the sign of the realized bond—stock correlation, which has recently gone from positive to negative. Macroeconomic announcement effects on realized bond and stock volatilities are also investigated. Our results are robust across 8:30 A.M. and 10:00 A.M. announcements. | |
| dc.identifier.doi | 10.1002/fut.20258 | |
| dc.identifier.issn | 0270-7314 | |
| dc.identifier.other | merlin-id:5928 | |
| dc.identifier.scopus | 2-s2.0-34247523580 | |
| dc.identifier.uri | https://www.zora.uzh.ch/handle/20.500.14742/209290 | |
| dc.identifier.wos | 000245346200002 | |
| dc.language.iso | eng | |
| dc.subject.ddc | 330 Economics | |
| dc.title | Realized bond-stock correlation: Macroeconomic announcement effects | |
| dc.type | article | |
| dcterms.accessRights | info:eu-repo/semantics/closedAccess | |
| dcterms.bibliographicCitation.journaltitle | Journal of Futures Markets | |
| dcterms.bibliographicCitation.number | 5 | |
| dcterms.bibliographicCitation.originalpublishername | Wiley-Blackwell Publishing, Inc. | |
| dcterms.bibliographicCitation.pageend | 469 | |
| dcterms.bibliographicCitation.pagestart | 439 | |
| dcterms.bibliographicCitation.url | https://doi.org/10.1002/fut.20258 | |
| dcterms.bibliographicCitation.volume | 27 | |
| dspace.entity.type | Publication | en |
| uzh.contributor.affiliation | Swiss National Bank | |
| uzh.contributor.affiliation | Aarhus Universitet | |
| uzh.contributor.author | Ranaldo, Angelo | |
| uzh.contributor.author | Christiansen, Charlotte | |
| uzh.contributor.correspondence | No | |
| uzh.contributor.correspondence | Yes | |
| uzh.document.availability | no_document | |
| uzh.eprint.datestamp | 2023-08-28 12:42:38 | |
| uzh.eprint.lastmod | 2025-07-28 01:39:54 | |
| uzh.eprint.statusChange | 2023-08-28 12:42:38 | |
| uzh.harvester.eth | No | |
| uzh.harvester.nb | No | |
| uzh.jdb.eprintsId | 32029 | |
| uzh.oastatus.unpaywall | green | |
| uzh.oastatus.zora | Closed | |
| uzh.publication.citation | Ranaldo, Angelo; Christiansen, Charlotte (2007). Realized bond-stock correlation: Macroeconomic announcement effects. Journal of Futures Markets, 27(5):439-469. | |
| uzh.publication.originalwork | original | |
| uzh.publication.publishedStatus | final | |
| uzh.publication.scope | disciplinebased | |
| uzh.scopus.impact | 44 | |
| uzh.scopus.subjects | Accounting | |
| uzh.scopus.subjects | General Business, Management and Accounting | |
| uzh.scopus.subjects | Finance | |
| uzh.scopus.subjects | Economics and Econometrics | |
| uzh.workflow.chairSubject | Financial Economics | |
| uzh.workflow.chairSubject | ProfThorstenHens1 | |
| uzh.workflow.doaj | uzh.workflow.doaj.false | |
| uzh.workflow.eprintid | 235780 | |
| uzh.workflow.fulltextStatus | none | |
| uzh.workflow.revisions | 39 | |
| uzh.workflow.rightsCheck | keininfo | |
| uzh.workflow.status | archive | |
| uzh.wos.impact | 44 | |
| Publication available in collections: |