Header

UZH-Logo

Maintenance Infos

Realized bond-stock correlation: Macroeconomic announcement effects


Ranaldo, Angelo; Christiansen, Charlotte (2007). Realized bond-stock correlation: Macroeconomic announcement effects. Journal of Futures Markets, 27(5):439-469.

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.

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.

Statistics

Citations

Dimensions.ai Metrics
42 citations in Web of Science®
41 citations in Scopus®
Google Scholar™

Altmetrics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Accounting
Social Sciences & Humanities > General Business, Management and Accounting
Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:May 2007
Deposited On:28 Aug 2023 12:42
Last Modified:29 Apr 2024 01:39
Publisher:Wiley-Blackwell Publishing, Inc.
ISSN:0270-7314
OA Status:Closed
Publisher DOI:https://doi.org/10.1002/fut.20258
Official URL:https://doi.org/10.1002/fut.20258
Other Identification Number:merlin-id:5928
Full text not available from this repository.