Bond yields and stock returns comparison using wavelet semblance analysis


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Various measures of resemblance are increasingly applied in confrontation of data samples obtained by different sources. Semblance analysis aims at comparison of two sets of data based on their phase and frequency. Conventional semblance analysis following the Fourier transform has several deficiencies resulting from the transform. To overcome these obstacles, another type of semblance analysis was developed applying the wavelet transform. This paper focuses on semblance analysis of stock prices and government bond yields of two major global economies using continuous wavelet transform regarding both scale and time.

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    • Figure 1. German 10 year bond yield and DAX analysis
    • Figure 2. US 10 year treasury yield and S&P500 analysis
    • Figure 3. German 10 year bond and US 10 year treasury yield analysis
    • Figure 4. DAX and S&P500 analysis