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What drives the correlation between stock and bonds

This research paper investigates the correlation between stocks and bonds in South Africa between 2002 and 2020and further explores the macroeconomic variables which determine these stock bond correlations. South African stock returns are proxied by the FTSE/JSE All Share Total Return Index (JALSHTR...

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Main Author: Hudson, Jeremy
Other Authors: Majoni, Akios
Format: Thesis
Language:English
English
Published: Department of Finance and Tax 2025
Subjects:
Stock
bonds
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access_status_str Open Access
author Hudson, Jeremy
author2 Majoni, Akios
author_browse Hudson, Jeremy
Majoni, Akios
author_facet Majoni, Akios
Hudson, Jeremy
author_sort Hudson, Jeremy
collection Thesis
description This research paper investigates the correlation between stocks and bonds in South Africa between 2002 and 2020and further explores the macroeconomic variables which determine these stock bond correlations. South African stock returns are proxied by the FTSE/JSE All Share Total Return Index (JALSHTR Index) and the South African bond returns are proxied by FTSE/JSE ALBI Total Return Index (ALBITR Index). In addition, this paper includes the following indices in the analysis: JSE Industrial 25 Index Total Return Value (INDI25TR Index), FTSE/JSE South African Listed Property Total Return Index (JSAPYTR), JSE Financials 15 Index Total Return Value (FINI15TR Index).The correlations were calculated for each of the indices against the bond index over the sample period as well as rolling five year correlations. A regression analysis was conducted to investigate the regression to address the second research question The findings indicate a positive relationship between the bond index (ALBITR Index) and all the different types of equity indices (JALSHTR Index, INDI25TR Index, JSAPYTR, FINI15TR Index) over the sample period. The regression results reveal that long-term expected inflation was the only variable with a positive relationship to stock-bond correlations. All other variables (short term expected inflation, unexpected inflation, real interest rates, binary business cycles variable) exhibited a negative relationship with stock bond correlation. The results suggest that macroeconomic variables have limited influence, as none of them were statistically significant at the 10% significance level. The key contribution of this research is investigating the stock-bond relationship within the South African context over the past two decades.
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institution University of Cape Town (South Africa)
language English
eng
last_indexed 2026-06-10T12:32:57.328Z
license_str Not specified — see source repository
provenance_str_mv Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository
publishDate 2025
publishDateRange 2025
publishDateSort 2025
publisher Department of Finance and Tax
publisherStr Department of Finance and Tax
record_format dspace
source_str UCTD — University of Cape Town Open Access Repository
spelling oai:open.uct.ac.za:11427/41650 What drives the correlation between stock and bonds Hudson, Jeremy Majoni, Akios Stock bonds This research paper investigates the correlation between stocks and bonds in South Africa between 2002 and 2020and further explores the macroeconomic variables which determine these stock bond correlations. South African stock returns are proxied by the FTSE/JSE All Share Total Return Index (JALSHTR Index) and the South African bond returns are proxied by FTSE/JSE ALBI Total Return Index (ALBITR Index). In addition, this paper includes the following indices in the analysis: JSE Industrial 25 Index Total Return Value (INDI25TR Index), FTSE/JSE South African Listed Property Total Return Index (JSAPYTR), JSE Financials 15 Index Total Return Value (FINI15TR Index).The correlations were calculated for each of the indices against the bond index over the sample period as well as rolling five year correlations. A regression analysis was conducted to investigate the regression to address the second research question The findings indicate a positive relationship between the bond index (ALBITR Index) and all the different types of equity indices (JALSHTR Index, INDI25TR Index, JSAPYTR, FINI15TR Index) over the sample period. The regression results reveal that long-term expected inflation was the only variable with a positive relationship to stock-bond correlations. All other variables (short term expected inflation, unexpected inflation, real interest rates, binary business cycles variable) exhibited a negative relationship with stock bond correlation. The results suggest that macroeconomic variables have limited influence, as none of them were statistically significant at the 10% significance level. The key contribution of this research is investigating the stock-bond relationship within the South African context over the past two decades. 2025-08-29T07:51:41Z 2025-08-29T07:51:41Z 2025 2025-08-29T07:44:46Z Thesis / Dissertation Masters MCom http://hdl.handle.net/11427/41650 en eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town
spellingShingle Stock
bonds
Hudson, Jeremy
What drives the correlation between stock and bonds
thesis_degree_str Master's
title What drives the correlation between stock and bonds
title_full What drives the correlation between stock and bonds
title_fullStr What drives the correlation between stock and bonds
title_full_unstemmed What drives the correlation between stock and bonds
title_short What drives the correlation between stock and bonds
title_sort what drives the correlation between stock and bonds
topic Stock
bonds
url http://hdl.handle.net/11427/41650
work_keys_str_mv AT hudsonjeremy whatdrivesthecorrelationbetweenstockandbonds

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