如此不同，却又如此相似：股票市场和公司债券市场中公司关联性的比较分析

IF 2.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2024-04-27 DOI:10.1111/eufm.12488

Renaud Beaupain, Stephanie Heck

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引用次数: 0

摘要

我们研究股票市场和公司债券市场中公司回报率和波动率的关联性。我们基于公司层面的重复销售指数来捕捉公司债券市场中特定公司的收益和波动时间序列。通过衡量企业的成对关联度，我们发现两个市场的企业关联度具有相似的动态性。企业倾向于在自己的行业内集聚，而公司债券市场中企业之间的联系则相对较弱。金融公司在冲击的传播中发挥着关键作用，但这一作用在两个市场中存在明显差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

So different and yet so alike: A comparative analysis of firms' connectedness in the stock and corporate bond markets

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So different and yet so alike: A comparative analysis of firms' connectedness in the stock and corporate bond markets

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.

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来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.