Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/14729
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dc.contributor.authorTolikas, K-
dc.date.accessioned2017-06-09T12:56:18Z-
dc.date.available2017-06-09T12:56:18Z-
dc.date.issued2017-
dc.identifier.citationThe European Journal of Financeen_US
dc.identifier.issn1351-847X-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/14729-
dc.description.abstractI examine the relative informational efficiency of bonds and the underlying stocks through the lead-lag relation between their daily returns. I find that stock returns lead the returns of high yield bonds but not those of investment grade bonds, which indicates that the stock market is relatively more informational efficient than the bond market. The findings imply trading opportunities for the bonds that are highly sensitive to the release of new information. I also find that stocks detect impending defaults earlier than bonds, which implies that bond holders may have enough time to protect their capital.en_US
dc.language.isoenen_US
dc.subjectInformational efficiencyen_US
dc.subjectCorporate bondsen_US
dc.subjectLead-lag relationen_US
dc.titleThe lead-lag relation between the stock and the bond marketsen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1080/1351847X.2017.1340320-
dc.relation.isPartOfThe European Journal of Finance-
pubs.publication-statusAccepted-
Appears in Collections:Dept of Economics and Finance Embargoed Research Papers

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