Date of Award
Doctor of Business Administration (DBA)
Jack Welch College of Business
Dr. Lorán Chollete
Dr. Lawrence Hatheway
Dr. Lucjan Orlowski
In this paper, I conduct a study of comovement between equity and corporate bonds using S&P500 and Investment Grade and High Yield CDX Indexes to evaluate the diversification benefits of holding these assets in portfolios. I assess comovement and diversification potential using DCC-GARCH and copulas. This approach allows for a review of equity and credit linkages through multiple lenses and evaluation of how these relationships have evolved over time. In general, I find only modest potential for diversification between equity and CDX markets and strong evidence of increased comovement over time.
G11, G12, G13
Palma, J. A. (2023). Assessing diversification of S&P500 and CDX indexes. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT. Retrieved from https://digitalcommons.sacredheart.edu/wcob_theses/32/
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