| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8612 |
| 来源ID | Working Paper 8612 |
| Long-Term Global Market Correlations | |
| William N. Goetzmann; Lingfeng Li; K. Geert Rouwenhorst | |
| 发表日期 | 2001-11-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | In this paper we examine the correlation structure of the major world equity markets over 150 years. We find that correlations vary considerably through time and are highest during periods of economic and financial integration such as the late 19th and 20th centuries. Our analysis suggests that the diversification benefits to global investing are not constant, and that they are currently low compared to the rest of capital market history. We decompose the diversification benefits into two parts: a component that is due to variation in the average correlation across markets, and a component that is due to the variation in the investment opportunity set. There are periods, like the last two decades, in which the opportunity set expands dramatically, and the benefits to diversification are driven primarily by the existence of marginal markets. For other periods, such as the two decades following World War II, risk reduction is due to low correlations among the major national markets. From this, we infer that periods of globalization have both benefits and drawbacks for international investors. They expand the opportunity set, but diversification relies increasingly on investment in emerging markets. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8612 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566218 |
| 推荐引用方式 GB/T 7714 | William N. Goetzmann,Lingfeng Li,K. Geert Rouwenhorst. Long-Term Global Market Correlations. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8612.pdf（614KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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