We show 90 equity-commodity market correlations around the world have fluctuated about their respective broken trends since the early 1990s. Each of past eight major financial crises has precipitated breaks in the levels/slopes of some correlation trends, and each correlation trend has been...

This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...

Addressing the view that recent hikes in the commodity-equity correlation will only be temporary, this paper differentiates itself from previous studies in two aspects: It examines the long-run trends and the short-run fluctuations of the commodity-equity correlation, and it does so to indices...

This paper examines the comovement between the Chinese and US stock markets over the period between January 4, 2000 and January 13, 2012. We show that there is no cointegration relationship between the two markets, even when allowing for structural change. Their conditional correlation...

Utilising a time-varying GAR (1)-TGARCH (1,1) model with different frequency data, we investigate the weak-form efficiency of major global crude oil spot markets in Europe, the US, the UAE and China for the period from December 2001 to August 2013. Our empirical results with weekly data indicate...