S&P 500

NIKKEI 225

Regime

Low Correlation

High Correlation

Low Correlation

High Correlation

Panel A: Range-based

0.052 (0.004)

0.075 (0.001)

0.074 (0.002)

0.335 (0.095)

0.931 (0.007)

0.268 (0.006)

0.906 (0.003)

0.377 (0.131)

0.999 (0.194)

0.997 (0.077)

0.999 (0.424)

0.860 (0.117)

0.810

0.190

0.998

0.002

Panel B: Return-based

0.030 (0.001)

0.147 (0.042)

0.043 (0.002)

0.158 (0.012)

0.957 (0.003)

−0.023 (0.083)

0.955 (0.002)

0.373 (0.042)

0.994 (0.160)

0.879 (0.170)

0.999 (0.085)

0.968 (0.105)

0.954

0.046

0.990

0.010