Financial links between the stock market and the debt securities market

The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identi cation through heteroskedasticity. Both coef cients were found to be negative which is consistent with the notion that, given an opportunity cost of capital, the returns move in opposite directions in order to promote the equilibrium of the capital ow. However, only the coef cient that measures the impact of bond market over stock markets was signi cantly different from zero. Thus, the intensity of this relationship also depends on the relative size of the markets under study.