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http://ssrn.com/abstract=288421
 
 

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Long-Term Global Market Correlations


William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Lingfeng Li


Capula Investment Services

K. Geert Rouwenhorst


Yale School of Management - International Center for Finance

October 7, 2004

Yale ICF Working Paper No. 08-04

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 diversification into two parts: a component that measures variation of the average correlation across markets, and a component that measures variation of the investment opportunity set. Globalization is associated with relatively high correlations, and an increase in the investment opportunity set. From this, we infer that periods of globalization have both benefits and drawbacks for international investors.

Number of Pages in PDF File: 46

JEL Classification: G15, F21, N2

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Date posted: October 25, 2001 ; Last revised: January 24, 2008

Suggested Citation

Goetzmann, William N. and Li, Lingfeng and Rouwenhorst, K. Geert, Long-Term Global Market Correlations (October 7, 2004). Yale ICF Working Paper No. 08-04. Available at SSRN: http://ssrn.com/abstract=288421 or http://dx.doi.org/10.2139/ssrn.288421

Contact Information

William N. Goetzmann (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Lingfeng Li
Capula Investment Services ( email )
8 Lancelot Place, Floor 3
Knightsbridge
London, SW7 1DR
United Kingdom
+44(0)7500085962 (Phone)
K. Geert Rouwenhorst
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://som.yale.edu/~geert/

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