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Correlation dynamics of global industry portfolios

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

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.

Suggested Citation

  • Ferreira, Miguel A. & Gama, Paulo M., 2010. "Correlation dynamics of global industry portfolios," Journal of Multinational Financial Management, Elsevier, vol. 20(1), pages 35-47, February.
  • Handle: RePEc:eee:mulfin:v:20:y:2010:i:1:p:35-47
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    References listed on IDEAS

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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.
    2. Akhtaruzzaman, Md & Shamsuddin, Abul, 2016. "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, vol. 59(C), pages 143-163.
    3. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
    4. Wen, Yi-Chieh & Lin, Philip T. & Li, Bin & Roca, Eduardo, 2015. "Stock return predictability in South Africa: The role of major developed markets," Finance Research Letters, Elsevier, vol. 15(C), pages 257-265.

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