The spread of the novel coronavirus has had an impact on the world economy including the stock and bond markets. This paper investigates the linkages between bond and stock markets of Asia, USA, and Europe in pre-Covid and Covid period. Daily data of Asia (Pan-Asia corporate bond), US (Treasury Bonds) and Europe (Eurozone-Investment-grade corporate bond) have been taken for two different periods. First period is from 1 November 2018 (pre-Covid) to 31 October 2019 and second period is from 1 November 2019 to 10 August 2020 (Covid period). Descriptive statistics, correlation, ARDL method, Granger-Causality analysis and VAR Model were applied to examine the long-run and short-run associations among these indices /variables. It is concluded that the correlation relationship of selected indices have changed from pre-Covid time to Covid time. One of the interesting findings is that long term association among the selected variables does not change between two periods. Few variables that were previously not influencing other variables have started affecting them during Covid period. This study aims for portfolio managers and investors who are keen on taking decisions for investment purposes in pandemic period.

Bonds; co-integration; ARDL; VAR; Covid-19