This paper investigates the correlation between bond and stock returns in UK in daily data. It checks how the correlation between bond and stock returns changes over time and analyses the reasons behind the correlation between them. Through the examination of the UK daily data in the period from July 1996 to May 2003, this paper reports some important findings. Firstly, the correlation between bond and stock returns is not constant over time and the unconditional correlation between bond and stock returns even becomes negative in the sample of this paper. Secondly, there are two factors affecting the correlation between bond and stock returns in the UK: the real interest rate and the stock market volatility. The increasing real interest rate increases the correlation between bond and stock returns. However, the increasing stock market volatility causes a decrease of the correlation between the two returns decrease. Moreover, the stock market volatility plays a main role to understand the correlation between bond and stock returns in the sample of this paper.