Correlation Dynamics of Global Industry Portfolios

Miguel A. Ferreira, Paulo M. Gama
2004 Social Science Research Network  
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.
doi:10.2139/ssrn.517742 fatcat:7xfmxdv5avex5cvdresdvexsem