Scandinavian Working Papers in Economics

Working Papers,
Copenhagen Business School, Department of Economics

No 04-2000: ON THE RELATIONSHIP BETWEEN THE DANISH STOCK AND BOND MARKET IN THE MEDIUM AND LONG TERM

Jan Overgaard Olesen and Ole Risager
Additional contact information
Jan Overgaard Olesen: Department of Economics, Copenhagen Business School, Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark
Ole Risager: Department of Economics, Copenhagen Business School, Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark

Abstract: This short paper studies the empirical relationship between realized stock returns and bond yields at the 5- and 10-year investment horizons, respectively. Using annual Danish data since 1927, we find that stock returns and bond yields are closely linked in the medium and long term, as we estimate strong cointegrating relations at both horizons. Hence, at the 5- and 10- year investment horizons a high bond yield tends to go hand in hand with a high stock return, and vice versa. Results show that stock returns tend to respond less than one-to-one to changes in the bond yield.

Keywords: stock returns; Bond yields; Denmark

JEL-codes: E40; G10; G30; H10

22 pages, February 1, 2000

Full text files

x648099309.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Lars Nondal ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-01-23 23:31:11.