Increased Correlation in Bear Markets
- 2 January 2002
- journal article
- Published by Taylor & Francis in CFA Magazine
- Vol. 58 (1) , 87-94
- https://doi.org/10.2469/faj.v58.n1.2512
Abstract
A number of studies have provided evidence of increased correlations in global financial market returns during bear markets. Other studies, however, have shown that some of this evidence may be bia... A generally accepted concept today is that, over time, returns when the markets are experiencing large negative movements are more highly correlated than returns during more normal times. If true, ...Keywords
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