کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
968459 931566 2010 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Correlation dynamics of global industry portfolios
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Correlation dynamics of global industry portfolios
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 20, Issue 1, February 2010, Pages 35–47
نویسندگان
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