This paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries.,The authors generate volatility and correlations using the realised volatility approach and implement a general vector autoregression approach to examine causality and spillovers.,While results confirm that same asset-cross country return correlations and spillovers increase over time, the same in not true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial amount of time variation; however, there is no evidence of trending in any direction. Equally, cross asset – same country correlations exhibit both negative and positive values. Further, the authors report an inverse relation between same asset – cross country return correlations and cross asset – same country return correlations, i.e. the stock return correlation across countries increases at the same time the stock and bond return correlation within each country declines. Moreover, the results show that the stock and bond return correlations exhibit commonality across countries. The results also demonstrate that stock returns lead movement in bond returns, while US stock and bond returns have predictive power other country stock and bond returns. In terms of the markets analysed, Japan exhibits a distinct nature compared with those of Germany, the UK and USA.,The results presented here provide a detailed characterisation of how assets interact both with each other and cross-countries and should be of interest to portfolio managers, policy-makers and those interested in modelling cross-market behaviour. Notably, the authors reveal key differences between the behaviour of stocks and bonds and across different countries.

中文翻译：

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股票和债券之间的相互关系和溢出效应：跨市场和跨资产的证据

本文旨在研究四个主要国际国家的股票和债券市场的同时性和因果关系。作者使用已实现的波动率方法产生波动性和相关性，并采用一般的矢量自回归方法来检验因果关系和溢出。尽管结果证实相同的资产跨国收益相关性和溢出效应随时间增加，但对于方差和协方差行为却并非如此。各国之间的波动性溢出表现出很大的时间差异；但是，没有证据显示任何方向的趋势。同样，跨资产–同一国家/地区的相互关系同时显示负值和正值。进一步，作者报告了相同资产之间的反向关系-跨国收益相关性和交叉资产-同一国家收益相关性，即，各国间的股票收益相关性增加，而每个国家内的股票和债券收益率相关性下降。而且，结果表明股票和债券收益率的相关性在不同国家之间具有共同性。结果还表明，股票收益率在债券收益率中占主导地位，而美国股票和债券收益率对其他国家的股票和债券收益率具有预测能力。在分析的市场方面，与德国，英国和美国相比，日本表现出独特的性质。此处提供的结果详细描述了资产如何相互影响以及与跨国公司进行交互，并且资产组合管理人员，决策者以及对建模跨市场行为感兴趣的人员应该对此感兴趣。值得注意的是，作者揭示了股票和债券行为之间以及不同国家之间的主要差异。