Extreme Correlation of Stock and Bond Futures Markets: International Evidence
研究了美、英、德三国股票与债券期货市场的极端相关性，发现美国与英国在极端牛市或熊市时正相关，德国则负相关，且股市不确定性显著影响极端相关性。
Abstract This study explores time‐varying extreme correlation of stock–bond futures markets in three major developed countries. In the United States and the United Kingdom, there is evidence of positive extreme stock–bond correlation when both futures markets are extremely bullish or bearish. In Germany, stock–bond futures extreme correlation is negative, suggesting the most diversification potentials of bond futures when German stock index futures market plunges. Macroeconomic news, the business cycle, and the stock market uncertainty all significantly affect the median stock–bond futures correlation. However, only the stock market uncertainty still significantly affects the extreme stock–bond futures correlation when the stock market is extremely bearish.