Abstract
This study investigated stock-bond correlation in 17 countries of emerging markets (i.e. Czech Republic, Egypt, Greece, Hungary, Poland, Russia, Turkey, Israel, China, India, Indonesia, South Korea, Malaysia, Pakistan, Philippines, Taiwan, Thailand) during 2011 to 2018 using monthly price data. Data were analyzed using the ARCH-LM test, GJR GARCH and Multivariate GARCH type Asymmetric DCC model. Finding of this paper revealed that sequence of return series are stationary contains white noise error, past return volatilities does not have the ability to predict future volatilities and conditional volatility is higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence increase the diversification benefit for asset allocation in a portfolio construction and provide hedging assets characteristics among countries and it is verified that there is a co-movement between stock and bond in a country of emerging markets.
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