Long-Term Global Market Correlations

William Goetzmann, Lingfeng Li and K. Rouwenhorst

Yale School of Management Working Papers from Yale School of Management

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

Date: 2001-10-01, Revised 2008-01-01
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