ATTENTION/WARNING - NE PAS DÉPOSER ICI/DO NOT SUBMIT HERE

Ceci est la version de TEST de DIAL.mem. Veuillez ne pas soumettre votre mémoire sur ce site mais bien à l'URL suivante: 'https://thesis.dial.uclouvain.be'.
This is the TEST version of DIAL.mem. Please use the following URL to submit your master thesis: 'https://thesis.dial.uclouvain.be'.
 

The dynamic conditional correlation of stock and bond returns: Empirical evidence of China from October 2007 to June 2016

Suami, Kelian
(2016)

Files

SUAMI_5708100_2016.pdf
  • Open access
  • Adobe PDF
  • 3.21 MB
Download

Details

Supervisors
Iania, Leonardo
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion
Abstract
This thesis investigates the relationship between stock and bond market in China by testing the hypothesis of time-varying correlation between stock and bond returns. The Dynamic Conditional Correlation (DCC) GARCH model, as introduced by Engle in 2001, is used to estimate these correlations. Eleven macroeconomic factors are used in six linear regressions in order to see their impacts on the stock-bond correlation. The empirical analysis is conducted from October 2007 until June 2016. The empirical results show that the SSE-B/Bond return correlation is more volatile than the SSE-A/Bond return correlation during financial stress periods exhibiting flight-to-safety effects. The analysis has shown that, the B-shares market is affected by different macroeconomic factors than the A-shares market. The results of study provide investors recommendations on portfolio optimization.