| 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 | ||