Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations

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Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018, background): “For example, and as far as the stock and bond market linkages are concerned, the flight-to-quality channel (Li, 2002; Gulko, 2002; Baur and Lucey, 2009; Caballero and Krishnamurthy, 2008) occurs when in periods of high uncertainty, investors sell risky assets (i.e., stocks) and buy the safest and…”
Diversifying away the Risk of War and Cross-Border Political Crisis (2017, background): “The existence of this effect renders bonds an effective instrument for diversification, as pointed out by Baur and Lucey (2009).”
Flights to Safety (2014, unknown): “Beber et al. (2014) identify “risk-off” episodes based on correlations between foreign exchange returns, while Baur and Lucey (2009) define a flight-to-quality as a period of declining correlation between stock and bond returns amid a falling stock market and differentiate such episodes from…”
No contagion, only globalization and flight to quality (2012, background): “…increase within each asset class and the correlation decrease across asset classes seems to be explained by the effect known as “flight to quality” (Baur and Lucey, 2009; Hartmann et al., 2001; Inci et al., 2011), where investors shift funds towards safer ssets, leading to “decoupling”: higher…”