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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/32588
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dc.contributor.authorAlrababa'a, Abdelen_UK
dc.contributor.authorAlomari, Mohammaden_UK
dc.contributor.authorMcMillan, Daviden_UK
dc.date.accessioned2021-05-07T07:29:20Z-
dc.date.available2021-05-07T07:29:20Z-
dc.date.issued2021-12en_UK
dc.identifier.other101435en_UK
dc.identifier.urihttp://hdl.handle.net/1893/32588-
dc.description.abstractThis paper examines the multiscale return correlation between the stocks and government bonds of different maturities returns in 25 countries. The analysis reveals that developed markets correlations are generally negative at the first time-scale and move in a positive direction at higher scales. This contrasts with emerging markets, where the correlation tends to be positive throughout. Thus, the results support a greater flight-to-safety effect in developed markets. Further evidence highlights the ability of the correlation to produce portfolios with a lower VaR. Results support this at longer time-scales and for both developed and emerging markets. The results here demonstrate the importance of accounting for time-scales in modelling the stock-bond correlation and in constructing portfolios.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationAlrababa'a A, Alomari M & McMillan D (2021) Multiscale Stock-Bond Correlation: Implications for Risk Management. Research in International Business and Finance, 58, Art. No.: 101435. https://doi.org/10.1016/j.ribaf.2021.101435en_UK
dc.rightsThis item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Alrababa'a A, Alomari M & McMillan D (2021) Multiscale Stock-Bond Correlation: Implications for Risk Management. Research in International Business and Finance, 58, Art. No.: 101435. https://doi.org/10.1016/j.ribaf.2021.101435 © 2021, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/en_UK
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en_UK
dc.subjectCorrelationen_UK
dc.subjectWaveleten_UK
dc.subjectFlight-to-Safetyen_UK
dc.subjectValue-at-Risken_UK
dc.titleMultiscale Stock-Bond Correlation: Implications for Risk Managementen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2022-11-30en_UK
dc.rights.embargoreason[Stock_Bond_25_countries_revised_new.pdf] Publisher requires embargo of 18 months after formal publication.en_UK
dc.identifier.doi10.1016/j.ribaf.2021.101435en_UK
dc.citation.jtitleResearch in International Business and Financeen_UK
dc.citation.issn0275-5319en_UK
dc.citation.volume58en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date29/05/2021en_UK
dc.contributor.affiliationYarmouk Universityen_UK
dc.contributor.affiliationGerman Jordanian Universityen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.identifier.isiWOS:000696994200012en_UK
dc.identifier.scopusid2-s2.0-85107268808en_UK
dc.identifier.wtid1726492en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2021-04-30en_UK
dcterms.dateAccepted2021-04-30en_UK
dc.date.filedepositdate2021-05-05en_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorAlrababa'a, Abdel|en_UK
local.rioxx.authorAlomari, Mohammad|en_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2022-11-30en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||2022-11-29en_UK
local.rioxx.licencehttp://creativecommons.org/licenses/by-nc-nd/4.0/|2022-11-30|en_UK
local.rioxx.filenameStock_Bond_25_countries_revised_new.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source0275-5319en_UK
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