Figure 1
Time series plots of demeaned daily log returns for the S&P 500 Index, 10-year Treasury yield, and FINEX. The lower panel shows U.S. stock and bond sentiment indices, standardized and ARMA-filtered.

Upper panel: Demeaned daily log returns of the S&P 500 Composite Index, the yield of the U.S. constant maturity 10-year Treasury note, and the USD Index from January 1, 1998 to October 31, 2014. Lower panel: TRMI U.S. stock index sentiment and TRMI U.S. bond sentiment on trading days (demeaned, ARMA filtered, standardized). Data sources: Bloomberg and Thomson Reuters (TRMI).

Close
This Feature Is Available To Subscribers Only

Sign In or Create an Account

Close

This PDF is available to Subscribers Only

View Article Abstract & Purchase Options

For full access to this pdf, sign in to an existing account, or purchase an annual subscription.

Close