The relation between bond and equity returns serves as a proxy for estimating the premia investors' demand on their equity portfolio holdings and assessing the substitution effects between the two markets. With this in mind, we examine empirically the co-movements and the underlying information...

The stock-bond correlation has been related to market uncertainty and macroeconomic variables. In this paper, we focus on the common pricing process of Greek stocks and bonds, through the correlation of their returns. We derive dynamic conditional correlations of Greek stock and government bond...