Realized bond—stock correlation: Macroeconomic announcement effects

✍ Scribed by Charlotte Christiansen; Angelo Ranaldo

• Book ID: 102214787
• Publisher: John Wiley and Sons
• Year: 2007
• Tongue: English
• Weight: 241 KB
• Volume: 27
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.20258

✦ Synopsis

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. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:439—469, 2007