TY - JOUR
T1 - On the relationship between changes in stock prices and bond yields in the G7 countries
T2 - Wavelet analysis
AU - Kim, Sangbae
AU - In, Francis
PY - 2007/4
Y1 - 2007/4
N2 - The purpose of this paper is to shed a new perspective on the relationship between changes in stock prices and bond yields in the G7 countries. Theoretical studies argue that this relationship may be negative or positive. To investigate the relationship, we model a newly developed time-series technique: wavelet correlation analysis. The key empirical results show that the correlation between changes in stock prices and bond yields can differ from country to country and can also depend on the time scale. Furthermore, wavelet analysis reveals that changes in stock prices and bond yields do not move together in most G7 countries, except in Japan.
AB - The purpose of this paper is to shed a new perspective on the relationship between changes in stock prices and bond yields in the G7 countries. Theoretical studies argue that this relationship may be negative or positive. To investigate the relationship, we model a newly developed time-series technique: wavelet correlation analysis. The key empirical results show that the correlation between changes in stock prices and bond yields can differ from country to country and can also depend on the time scale. Furthermore, wavelet analysis reveals that changes in stock prices and bond yields do not move together in most G7 countries, except in Japan.
KW - Bond yields
KW - Long-run relationship
KW - Short-run relationship
KW - Stock prices
KW - Wavelet correlation analysis
UR - http://www.scopus.com/inward/record.url?scp=33847080007&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2005.10.004
DO - 10.1016/j.intfin.2005.10.004
M3 - Article
AN - SCOPUS:33847080007
SN - 1042-4431
VL - 17
SP - 167
EP - 179
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 2
ER -