Correlation dynamics of global industry portfolios

Miguel Ferreira () and Paulo M. Gama

Journal of Multinational Financial Management, 2010, vol. 20, issue 1, 35-47

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.

Keywords: Correlation; Global; industry; portfolios; Asymmetries (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:20:y:2010:i:1:p:35-47

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