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This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu et al. (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence provides useful insights to participants in oil and stock markets and to policymakers.

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JEL classification: C40 E44 F30 G15Keywords: Stock returns Government bond returns Dependence Flight-to-quality Time-varying copulas a b s t r a c t This paper investigates the dependence pattern between stock and long-term government bond returns for a wide range of developed countries over the last two decades by using a dynamic DCC-GARCH-copula model. This approach allows obtaining a flexible and comprehensive description of the time variation in the linkage between stock and bond markets.The empirical results show that the dependence structure between stock and 10-year government bond returns varies significantly over time for most countries. In particular, a positive stock-bond association is observed during the 1990s, while the relationship becomes negative from the early 2000s, supporting the presence of flight-to-quality effects. In addition, no evidence of asymmetric and tail dependence is found for the vast majority of countries.