Analyzing Stock-Bond Correlation in Emerging Markets

Qurat Ul Ain Ehtesham, Danish Ahmed Siddiqui


This study investigates stock-bond correlation in 17 countries of emerging markets during 2011 to 2018 using monthly price data. Data was analyzed using ARCH-LM test, GJR GARCH and Multivariate GARCH type Asymmetric DCC model. Findings of this paper revealed that sequence of return series are stationary containing white noise error, past return volatilities do not have the ability to predict future volatilities and conditional volatility is higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence increase the diversification benefit for asset allocation in a portfolio construction and provide hedging assets characteristics among countries and it is found that there is a co-movement between stock and bond in a country of emerging markets.

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Copyright (c) 2019 Qurat Ul Ain Ehtesham, Danish Ahmed Siddiqui

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This work is licensed under a Creative Commons Attribution 4.0 International License.

Research in Applied Economics ISSN 1948-5433


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