Correlation dynamics of global industry portfolios

Miguel A. Ferreira; Paulo Miguel Gama

doi:10.1016/j.mulfin.2009.11.003

Correlation dynamics of global industry portfolios

Miguel A. Ferreira, Paulo Miguel Gama

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

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.

Original language	English
Pages (from-to)	35-47
Journal	Journal Of Multinational Financial Management
Volume	20
Issue number	1
DOIs	https://doi.org/10.1016/j.mulfin.2009.11.003
Publication status	Published - 1 Jan 2010

Access to Document

10.1016/j.mulfin.2009.11.003

Cite this

@article{0f48bf4c81c5447ab023c9858539d8ed,

title = "Correlation dynamics of global industry portfolios",

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 = "Global industry portfolios, Correlation, Asymmetries",

author = "Ferreira, {Miguel A.} and Gama, {Paulo Miguel}",

year = "2010",

month = jan,

day = "1",

doi = "10.1016/j.mulfin.2009.11.003",

language = "English",

volume = "20",

pages = "35--47",

journal = "Journal Of Multinational Financial Management",

issn = "1042-444X",

publisher = "Elsevier Science B.V., Amsterdam.",

number = "1",

}

TY - JOUR

T1 - Correlation dynamics of global industry portfolios

AU - Ferreira, Miguel A.

AU - Gama, Paulo Miguel

PY - 2010/1/1

Y1 - 2010/1/1

N2 - 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.

AB - 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.

KW - Global industry portfolios

KW - Correlation

KW - Asymmetries

U2 - 10.1016/j.mulfin.2009.11.003

DO - 10.1016/j.mulfin.2009.11.003

M3 - Article

SN - 1042-444X

VL - 20

SP - 35

EP - 47

JO - Journal Of Multinational Financial Management

JF - Journal Of Multinational Financial Management

IS - 1

ER -

Correlation dynamics of global industry portfolios

Abstract

Access to Document

Fingerprint

Cite this