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Abstract:

This dissertation evolves around understanding two dimensions of financial market stability. The first dimension is related to the behaviour of assets and, more precisely, to the co-movement between two widely held asset classes, i.e. stocks and government bonds. Two chapters investigate different aspects of this co-movement. The first chapter analyses the determinants of stock-bond correlation estimated at various frequencies. The second chapter goes beyond correlation-based studies and focuses on the dependence between extreme movements in the stock and bond markets. The second dimension of financial market stability that is analysed in this dissertation is related to the behaviour of investors and their trust in financial markets, which is important to guarantee stability. The last chapter of this dissertation, therefore, focuses on the mutual fund industry and investigates whether mutual fund names correctly inform investors about the investment strategy pursued.