Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ผลกระทบของระดับการพัฒนาของตลาดตราสารหนี้ต่อ Flight-to-Quality จากหุ้นสู่หุ้นกู้ในช่วง COVID-19
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Narapong Srivisal
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.85
Abstract
This paper analyzed flight to quality effect from stocks to government bonds in 46 countries including developed and emerging countries during COVID pandemic. The empirical result from panel data framework shows that the flights exist and government bonds remain offered diversification benefit to investors when they are most needed. The negative stock-bond correlation was also amplified when pandemic is more severe in developed countries. Moreover, this study reveals that countries with a higher degree of bond market development can support bonds act as a safe haven better and have more negative in stock-bond correlation.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Sae-tiaw, Patcharee, "Does bond market development impact the flight-to-quality from stock to bond during COVID-19?" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7701.
https://digital.car.chula.ac.th/chulaetd/7701