Bond yields and stock returns comparison using wavelet semblance analysis
نویسندگان
چکیده
منابع مشابه
Wavelet analysis of stock returns and aggregate economic activity
The relationship between stock market returns and economic activity is investigated using signal decomposition techniques based on wavelet analysis. After the application of the maximum overlap discrete wavelet transform (MODWT) to the DJIA stock price index and the industrial production index for the US over the period 1961:1-2006:10wavelet variance and cross-correlations analyses are used to ...
متن کاملComparing time series using wavelet-based semblance analysis
Similarity measures are becoming increasingly commonly used in comparison of multiple datasets from various sources. Semblance filtering compares two datasets on the basis of their phase, as a function of frequency. Semblance analysis based on the Fourier transform suffers from problems associated with that transform, in particular its assumption that the frequency content of the data must not ...
متن کاملGrowth Expectations, Dividend Yields, and Future Stock Returns
According to the present value model, the long-run expected return on stocks, stock yield, is the dividend yield on stocks plus a weighted average of expected future growth rates in dividends. We construct a measure of the expected stock yield using the realized dividend yield and a weighted average growth rate proxy from sell-side analysts near-term earnings forecasts. During 1977-2012, this s...
متن کاملMacroeconomic Factors and the Correlation of Stock and Bond Returns
This paper examines the correlation between stock and bond returns. It first documents that the major trends in stock-bond correlation for G7 countries follow a similar reverting pattern in the past forty years. Next, an asset pricing model is employed to show that the correlation of stock and bond returns can be explained by their common exposure to macroeconomic factors. The link between the ...
متن کاملThe Correlation of Stock and Bond Returns: A Comparison between U.S. and Australia
Sufficient theory and evidence about comovement between stocks and bonds are documented in the past to suggest that volatility transmission exists, although a consensus to causation and prediction has yet to be reached. The portfolio theory accords both assets with complimentary characteristics, thus being a premise to our conjectures about cross-market linkages. As such, we investigate the cro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Investment Management and Financial Innovations
سال: 2017
ISSN: 1810-4967,1812-9358
DOI: 10.21511/imfi.14(2-1).2017.12