Stock Market Uncertainty and the Stock-Bond Return Relation
研究股票市场不确定性（如隐含波动率和股票换手率）如何影响股票与国债收益的联动关系，发现不确定性上升时两者相关性下降，债券相对收益更高，对投资者分散风险有参考价值。
Abstract We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market uncertainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative relation between the uncertainty measures and the future correlation of stock and bond returns. Contemporaneously, we find that bond returns tend to be high (low) relative to stock returns during days when implied volatility increases (decreases) substantially and during days when stock turnover is unexpectedly high (low). Our findings suggest that stock market uncertainty has important cross-market pricing in-fluences and that stock-bond diversification benefits increase with stock market uncertainty.