We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (U.S. stocks and Treasury bonds), commodities (oil and gold) and real estate assets (U.S. Case-Shiller index). We confirm the existence of two distinct...

Global stock markets react positively when different phases of human clinical trials on COVID-19 vaccine candidates begin. The average increase in stock market returns on day one of the trials is 15.2 basis points, and this estimate is both economically and statistically significant. The market...