Stocks and bonds: eggs in the same or different baskets. A cointegration analysis

Show simple item record O'Sullivan, Niall 2016-04-11T16:39:59Z 2016-04-11T16:39:59Z 2002-08
dc.identifier.citation Niall O'Sullivan (2002) "Stocks and bonds: eggs in the same or different baskets. A cointegration analysis". Centre for Investment Research Working Paper, University College Cork. WP 05-01 en
dc.identifier.endpage 17 en
dc.identifier.doi 10.2139/ssrn.2269553
dc.description.abstract The Johansen cointegration testing and estimation procedure is applied to examine the relationships among the stock markets, government bond markets and credit bond markets of the US, UK, Europe and Japan over the period 1985M1:2002M4. Asset class relationships are examined with returns denominated in dollars, sterling, euro and yen to determine whether long run diversification gains were achievable by international investors with these as base currencies. Cointegrating relations among currency hedged returns are also investigated. Cointegration findings, and by inference long run diversification opportunities, are found to be highly sensitive to the choice of currency in which returns are denominated and to whether currency risk is hedged, revealing the important role of exchange rates in international portfolio diversification. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Centre for Investment Research, University College Cork en
dc.relation.ispartofseries JEL Classification;G11, G12, G15
dc.rights © 2002, Niall O'Sullivan. en
dc.subject Cointegration en
dc.subject Diversification en
dc.subject Asset classes en
dc.title Stocks and bonds: eggs in the same or different baskets. A cointegration analysis en
dc.type Working paper en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: en
dc.internal.availability Full text available en 2013-05-28T14:58:35Z
dc.description.version Draft en
dc.internal.rssid 212552372
dc.description.status Not peer reviewed en
dc.internal.copyrightchecked Yes This is an older working paper, it won't be going to a journal so there are no copyright issues. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress en

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