shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

This paper examines the nature of the correlation between (real) equity and bond returns for the G7 markets. From the … standpoint of established finance theory, we would expect a positive returns correlation, however, evidence has been presented to … suggest that a negative correlation occurs over certain time periods. Using both panel and individual regression for the G7 …

shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

correlation coefficients. This method overcomes deficiencies in both the cointegration and GARCH methods. The results here largely … support those of the GARCH analysis. Finally, we use the time-varying correlation methods to form international portfolios and …

correlation coefficients. This method overcomes deficiencies in both the cointegration and GARCH methods. The results here largely … support those of the GARCH analysis. Finally, we use the time-varying correlation methods to form international portfolios and …

correlation coefficients the results indicate that correlations are time-varying but that the strength of the correlation …

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant …