General Financial Markets: General (includes Measurement and Data)

Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns

JEL codes: 
C32, E44, G10
Version Date: 
Feb 2012

In this paper, I study the correlation between stock and bond returns. We can define flight-to-quality from stocks to bonds as the decrease in the correlation between the two assets in falling stock markets periods (bear state), since the two assets returns move in the opposite direction.

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