Time Varying Causality Relationships Between Bonds and Stock Markets: Findings of the Hatemi-J Dynamic Causality Test

Özet

Economic developments and the uncertainty in risk factors can change the relationships between asset classes over time. Assuming that the relations between financial markets are of static in nature will result in erroneous investment and policy decisions, even if they are dynamic in reality. Focusing on the causality relationships between bond and stock markets, which has a central point of finance theory, this study aims to reveal whether there is symmetric and asymmetric causality relationship from bond market to the stock market, and if there is, whether this relationship changes over…

Özetin tamamı ve makalenin metni yayıncıda.