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Not Everyone is a Follower: The Behaviour of Interest Rate and Equity Markets within Major Economies relative to the US

Tunaru, Diana, Fabozzi, Frank J. (2020) Not Everyone is a Follower: The Behaviour of Interest Rate and Equity Markets within Major Economies relative to the US. International Journal of Finance and Economics, . ISSN 1076-9307. E-ISSN 1099-1158. (doi:10.1002/ijfe.1910) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:81840)

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Language: English

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https://doi.org/10.1002/ijfe.1910

Abstract

Using a multi-factor continuous-time model we study the impact of the global financial crisis on the information transmission mechanism between interest rate and equity markets in the US and each of the four major economies (UK, Japan, Germany and Canada). The exchange of information through the return channel shows that the equity markets communicate differently with the short- and long-term interest markets: the linkages between the equity and moneymarkets follow similar patterns across all four major economies, while the feedbacks between the returns on equity and bond markets suggest country-specific relationships with the US The level of interdependence is higher between the equity and long-term bond markets, while within the money-markets context there is evidence of the flight-to-quality phenomenon.

Item Type: Article
DOI/Identification number: 10.1002/ijfe.1910
Uncontrolled keywords: cequfin Global financial crisis, Level effects, Return feedbacks, Spillover effects, Centre for Quantitative Finance
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Diana Tunaru
Date Deposited: 24 Jun 2020 11:02 UTC
Last Modified: 16 Feb 2021 14:13 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/81840 (The current URI for this page, for reference purposes)
Tunaru, Diana: https://orcid.org/0000-0002-8351-4458
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