Using the linear OLS and nonlinear quantile regressions, this study examines nature of dynamic comovement between stocks and treasury bonds in Europe and its main drivers of financial uncertainty and investors’ expectations about future economic state. Comovement of the EU asset markets is proxied by pair-wise realized correlations between stock and 10-year treasury bond returns in thirteen European countries from 1994Q1 to 2015Q4. From this study, a lower uncertainty for future financial markets increases comovement of EU stock and bond markets. Investors’ higher expectation for future economic growth has a positive effect on the market comovement. The empirical findings support that investors’ perceptions about the future state of the economy and financial (stock) market uncertainty are key factors for joint pricing of European stocks and treasury bonds. Importantly, the nonlinear quantile regressions in this study indicate evidence of nonlinear effects of the two economic drivers across the whole distribution of the dependent variable of comovment of the EU asset markets.

本研究使用线性OLS和非线性分位数回归，研究了欧洲股票与国债之间动态联动的性质以及其金融不确定性和投资者对未来经济状况的期望的主要驱动因素。从1994年1季度到2015年4季度，在13个欧洲国家中，股票与10年期国债收益率之间成对实现的相关性代表了欧盟资产市场的共同发展。根据这项研究，未来金融市场的不确定性较低，从而增加了欧盟股票和债券市场的联动性。投资者对未来经济增长的更高期望对市场发展产生积极影响。实证结果支持投资者对未来经济状况和金融（股票）市场不确定性的看法是欧洲股票和国债联合定价的关键因素。重要的是，这项研究中的非线性分位数回归表明，两种经济驱动因素在欧盟资产市场联动因变量的整个分布中均具有非线性效应。