So different and yet so alike: A comparative analysis of firms' connectedness in the stock and corporate bond markets
研究了股票和公司债券市场中企业回报与波动率的关联性，发现两个市场有相似动态，但债券市场企业间联系较弱，金融企业在冲击传播中作用不同。
Abstract We study firms' return and volatility connectedness in the stock and corporate bond markets. Our approach to capturing firm‐specific return and volatility time series in the corporate bond market is based on a repeat‐sales index at the firm level. Measuring the pairwise connectedness of firms, we show that the two markets share similar dynamics in the connectedness of their firms. Firms tend to cluster within their own sectors and ties between firms in the corporate bond market are proportionally weaker. Financial firms play a critical role in the propagation of shocks, but this role differs markedly in the two markets.