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On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis

Citations

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Cited by:

  1. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Hkiri, Besma & Hela, Ben Hamida & Khan, Muhammad Asif, 2021. "On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  2. Bilgili, Faik & Mugaloglu, Erhan & Koçak, Emrah, 2018. "The impact of oil prices on CO2 emissions in China: A Wavelet coherence approach," MPRA Paper 90170, University Library of Munich, Germany.
  3. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Rehman, Mobeen ur & Ahmed, Tanveer & Khalid, Saniya, 2014. "Co-Movement of Pakistan Stock Exchange with India, S&P 500 and Nikkei 225: A Time-frequency (Wavelets) Analysis," MPRA Paper 60579, University Library of Munich, Germany.
  4. Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  5. Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
  6. Rahul Deora & Duc Khuong Nguyen, 2014. "Time-scale comovement between the Indian and world stock markets," Working Papers 2014-242, Department of Research, Ipag Business School.
  7. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  8. Bilgili, Faik & Kuşkaya, Sevda & Toğuç, Nurhan & Muğaloğlu, Erhan & Koçak, Emrah & Bulut, Ümit & Bağlıtaş, H. Hilal, 2019. "A revisited renewable consumption-growth nexus: A continuous wavelet approach through disaggregated data," Renewable and Sustainable Energy Reviews, Elsevier, vol. 107(C), pages 1-19.
  9. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
  10. Khalfaoui, R. & Boutahar, M. & Boubaker, H., 2015. "Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis," Energy Economics, Elsevier, vol. 49(C), pages 540-549.
  11. Albert Wong & Steven Whang & Emilio Sagre & Niha Sachin & Gustavo Dutra & Yew-Wei Lim & Gaetan Hains & Youry Khmelevsky & Frank Zhang, 2023. "Short-Term Stock Price Forecasting using exogenous variables and Machine Learning Algorithms," Papers 2309.00618, arXiv.org.
  12. Fan He & Xuansen He, 2019. "A Continuous Differentiable Wavelet Shrinkage Function for Economic Data Denoising," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 729-761, August.
  13. Román Ferrer & Syed Jawad Hussain Shahzad & Adrián Maizonada, 2019. "Nonlinear and extreme dependence between long-term sovereign bond yields and the stock market: A quantile-on-quantile analysis," Economics Bulletin, AccessEcon, vol. 39(2), pages 969-981.
  14. Silvo Dajcman, 2012. "Comovement between stock and bond markets and the ‘flight-to-quality’ during financial market turmoil – a case of the Eurozone countries most affected by the sovereign debt crisis of 2010–2011," Applied Economics Letters, Taylor & Francis Journals, vol. 19(17), pages 1655-1662.
  15. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 69-79.
  16. Samia Nasreen & Syed Asif Ali Naqvi & Aviral Kumar Tiwari & Shawkat Hammoudeh & Syed Ale Raza Shah, 2020. "A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification," JRFM, MDPI, vol. 13(4), pages 1-21, March.
  17. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
  18. Silvo Dajcman, 2013. "Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(6), pages 775-789, December.
  19. Chaker Aloui & Rania Jammazi & Hela Ben Hamida, 2018. "Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 603-626, August.
  20. Antonios K. Alexandridis & Mohammad S. Hasan, 2020. "Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 518-546, October.
  21. Umar, Zaghum & Riaz, Yasir & Aharon, David Y., 2022. "Network connectedness dynamics of the yield curve of G7 countries," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 275-288.
  22. Jia, Xiaoliang & An, Haizhong & Fang, Wei & Sun, Xiaoqi & Huang, Xuan, 2015. "How do correlations of crude oil prices co-move? A grey correlation-based wavelet perspective," Energy Economics, Elsevier, vol. 49(C), pages 588-598.
  23. Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
  24. Dimic, Nebojsa & Kiviaho, Jarno & Piljak, Vanja & Äijö, Janne, 2016. "Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 41-51.
  25. Atilla Cifter & Alper Ozun, 2008. "Multiscale Systematic Risk: an Application on the ISE-30," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(38), pages 1-24.
  26. Xiaojie Xu, 2018. "Causal structure among US corn futures and regional cash prices in the time and frequency domain," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(13), pages 2455-2480, October.
  27. Selcuk Bayraci & Sercan Demiralay & Hatice Gaye Gencer, 2018. "Stock†Bond Co†Movements And Flight†To†Quality In G7 Countries: A Time†Frequency Analysis," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 29-49, January.
  28. Zaghum Umar & Syed Jawad Hussain Shahzad & Román Ferrer & Francisco Jareño, 2018. "Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4500-4521, September.
  29. Bala Ramasamy & Matthew Yeung, 2010. "The Determinants of Foreign Direct Investment in Services," The World Economy, Wiley Blackwell, vol. 33(4), pages 573-596, April.
  30. Qureshi, Saba & Rehman, Ijaz Ur & Qureshi, Fiza, 2018. "Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 685-708.
  31. Lin, Fu-Lai & Yang, Sheng-Yung & Marsh, Terry & Chen, Yu-Fen, 2018. "Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 285-294.
  32. Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
  33. Alzahrani, Mohammed & Masih, Mansur & Al-Titi, Omar, 2014. "Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 175-201.
  34. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
  35. Al Rababa’a, Abdel Razzaq & Alomari, Mohammad & McMillan, David, 2021. "Multiscale stock-bond correlation: Implications for risk management," Research in International Business and Finance, Elsevier, vol. 58(C).
  36. Xiaojie Xu, 2018. "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, vol. 54(3), pages 1267-1295, May.
  37. Yang, Lu & Hamori, Shigeyuki, 2015. "Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 124-138.
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