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Long-Term Global Market Correlations

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  • William Goetzmann
  • Lingfeng Li
  • K. Rouwenhorst

Abstract

The correlation structure of the world equity markets varies considerably over the past 150 years. We show that correlations were high during periods of economic and financial integration. We decompose the benefits of international diver

Suggested Citation

  • William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management, revised 01 Jan 2008.
  • Handle: RePEc:ysm:somwrk:ysm237
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    File URL: http://icfpub.som.yale.edu/publications/2430
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    References listed on IDEAS

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    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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