COVID-19 and the Forward-Looking Stock-Bond Return Relationship (Online Supplement)

Abstract

This material provides additional results not reported in the main text available at https://ssrn.com/abstract=3820642. Table A1 presents the descriptive statistics. Tables A2 and A3 show the change in the confirmed new cases and stock-bond correlation in North American, the Asia Pacific and Europe. Table A4 presents the change in the google search volumes and stock-bond correlation for selected countries. Figure A1 shows the evolution of dynamic correlations and the number of confirmed COVID-19 total cases from February 3 to December 3, 2020, for Canada, New Zealand, Japan, Austria, Belgium, Denmark, Finland, France, the Netherlands, Norway, Sweden, Switzerland, the U.K., Greece, Ireland, Italy, Portugal, and Spain.