@article {18747,
	title = {Flight-to-quality between global stock and bond markets in the COVID era},
	journal = {Finance Research Letters, 38, 101852},
	year = {2021},
	abstract = {<p>We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specification and a wavelet analysis. Our empirical results demonstrate that flights occur simultaneously across countries and are not country-specific events. This finding suggests that the two largest asset classes offered diversification to investors during the recent crisis, when they actually needed it the most.</p>},
	url = {https://doi.org/10.1016/j.frl.2020.101852},
	author = {Stephanos Papadamou and Dimitris Kenourgios and Athanasios Fassas and Dimitrios Dimitriou}
}
