RISK-ON RISK-OFF: Implications for investors in the Australian stock and bond markets

被引：0
|
作者：
Haque, Tariq [1 ]
机构：
[1] Univ Adelaide, Discipline Finance, Adelaide, SA, Australia
来源：
JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE | 2013年 / 04期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Risk-on risk-off (RORO) effects were present in Australian and international financial markets from July 2007 to December 2012. This study shows that a risk-parity portfolio which combines both equities and bonds generates a higher Sharpe ratio than investing in either equities or bonds alone over a sample period incorporating both RORO and non-RORO periods. An earlier version of the paper was presented to the 2013 Australian Centre for Financial Studies' Melbourne Money and Finance Conference.(1)
引用
收藏
页码：47 / 52
页数：6
相关论文
共 50 条
  • [31] Stock price synchronicity, crash risk, and institutional investors
    An, Heng
    Zhang, Ting
    [J]. JOURNAL OF CORPORATE FINANCE, 2013, 21 : 1 - 15
  • [32] Risk factors in Australian bond returns
    Bianchi, Robert J.
    Drew, Michael E.
    Roca, Eduardo
    Whittaker, Timothy
    [J]. ACCOUNTING AND FINANCE, 2017, 57 (02): : 373 - 400
  • [33] Risk and Policy Uncertainty on Stock-Bond Return Correlations: Evidence from the US Markets
    Chiang, Thomas C.
    [J]. RISKS, 2020, 8 (02) : 1 - 17
  • [34] INTERDEPENDENCE AND RISK COMPARISON OF SLOVAK, HUNGARIAN AND POLISH STOCK MARKETS: POLICY AND MANAGERIAL IMPLICATIONS
    Aliu, Florin
    Krasniqi, Besnik
    Knapkova, Adriana
    Aliu, Fisnik
    [J]. ACTA OECONOMICA, 2019, 69 (02) : 273 - 287
  • [35] Oil price risk and emerging stock markets
    Basher, Syed A.
    Sadorsky, Perry
    [J]. GLOBAL FINANCE JOURNAL, 2006, 17 (02) : 224 - 251
  • [36] RISK GENERATING INDUSTRIES FOR EUROPEAN STOCK MARKETS
    Albu, Lucian Liviu
    Lupu, Radu
    Calin, Adrian Cantemir
    [J]. ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2017, 51 (04): : 5 - 17
  • [37] The pricing of exchange risk in emerging stock markets
    Francesca Carrieri
    Basma Majerbi
    [J]. Journal of International Business Studies, 2006, 37 : 372 - 391
  • [38] Is currency risk priced for emerging stock markets?
    Chkili, Walid
    [J]. ECONOMICS BULLETIN, 2012, 32 (03): : 2267 - 2280
  • [39] The pricing of exchange risk in emerging stock markets
    Carrieri, Francesca
    Majerbi, Basma
    [J]. JOURNAL OF INTERNATIONAL BUSINESS STUDIES, 2006, 37 (03) : 372 - 391
  • [40] LOW RISK ANOMALY IN THE CEE STOCK MARKETS
    Zaremba, Adam
    [J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2015, 18 (03): : 81 - 102
12345