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The stock-bond nexus and investors’ behavior in mature and emerging markets: Evidence from long-term historical data

Refk Selmi (Business School of Tunis, University of Manouba, Manouba, Tunisia and University of Pau, Pau, France)
Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, South Africa)
Christos Kollias (Department of Economics, University of Thessaly, Volos, Greece)
Stephanos Papadamou (University of Thessaly, Volos, Greece)

Studies in Economics and Finance

ISSN: 1086-7376

Article publication date: 3 May 2019

Issue publication date: 27 July 2021




Portfolio construction and diversification is a prominent challenge for investors. It reflects market agents’ behavior and response to market conditions. This paper aims to investigate the stock-bond nexus in the case of two emerging and two mature markets, India, South Africa, the UK and the USA, using long-term historical monthly data.


To address the issue at hand, copula quantile-on-quantile regression (C-QQR) is used to model the correlation structure. Although this technique is driven by copula-based quantile regression model, it retains more flexibility and delivers more robust and accurate estimates.


Results suggest that there is substantial heterogeneity in the bond-stock returns correlation across the countries under study point to different investors’ behavior in the four markets examined. Additionally, the findings reported herein suggest that using C-QQR in portfolio management can enable the formation of tailored response strategies, adapted to the needs and preferences of investors and traders.


To the best of the authors’ knowledge, no previous study has addressed in a comparative setting the stock-bond nexus for the four countries used here using long-term historical data that cover the periods 1920:08-2017:02, 1910:01-2017:02, 1933:01-2017:02 and 1791:09-2017:02 for India, South Africa, the UK and the USA, respectively.



The authors gratefully acknowledge the useful comments and constructive suggestions by three anonymous referees that helped improve the paper. The usual disclaimer applies.


Selmi, R., Gupta, R., Kollias, C. and Papadamou, S. (2021), "The stock-bond nexus and investors’ behavior in mature and emerging markets: Evidence from long-term historical data", Studies in Economics and Finance, Vol. 38 No. 3, pp. 562-582.



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