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Correlation dynamics of global industry portfolios

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  • Ferreira, Miguel A.
  • Gama, Paulo M.
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    Abstract

    This paper investigates the time series of realized correlations between global industries and the world market over the 1979-2008 period. The behavior of industry correlations is characterized by long-term swings, with a period of historically low correlations in the late 1990s. The Telecommunications and the Financials industries show a positive secular trend. Global industry correlations move countercyclically. Furthermore, there is evidence that industry correlations are higher for market downside moves than for upside moves.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 20 (2010)
    Issue (Month): 1 (February)
    Pages: 35-47

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    Handle: RePEc:eee:mulfin:v:20:y:2010:i:1:p:35-47

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    Web page: http://www.elsevier.com/locate/mulfin

    Related research

    Keywords: Correlation Global industry portfolios Asymmetries;

    References

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    Cited by:
    1. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.

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