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Evolution of the correlation between bond and stock market returns: empirical study from the european market

George, Nicolas ; Brenez, Maxence
(2017)

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Details

Supervisors
Iania, Leonardo
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion
Abstract
The goal of this master’s thesis is to assess and understand the drivers of the dynamic correlation between stock and bond returns. More precisely, we conducted our empirical analysis on European market for the last two decades on a monthly and daily basis. The chosen time-frame is characterized by particularly high financial stress periods in order to understand the correlation behaviour in time of crisis. We used a DCC-GARCH multivariate model in order to estimate the conditional correlation. Besides, we selected most important factors driving this stock-bond relationship and used statistical tool to determine their significance.