Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis
نویسندگان
چکیده
Results: It proves that the investor focuses more on the safety of their portfolio so there is neither a flight from quality nor a positive spillover during a crisis period. When one market is safer than the other market in the same country, a flight to quality occurs between the two markets; however, when the two markets in one country are both risky, negative spillover appears between these two markets.
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