This article examines whether there is a correlation between the government bond markets of Asian countries and those … of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East … Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia …

Eurobonds from the US, Europe, and other countries around the world, we show that bond performance around M&A announcements is …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …

), two-stage least squares (2SLS), and generalized method of moment (GMM) estimators. Using both stock and bond data, our …

Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond …

We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market …