|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Time-varying correlations and interrelations: Firm-level-based sector evidence|
|Citation:||Evans P, McMillan D & McMillan F (2017) Time-varying correlations and interrelations: Firm-level-based sector evidence, Journal of Asset Management, 18 (3), pp. 209-221.|
|Abstract:||Using firm-level data, we examine stock market correlations and interrelations for the G7 over the period 2000–2013. An examination using aggregate market data supports the view that correlations have risen and particularly so during crisis periods. Using firm-level data, which is tradeable, we establish sector portfolios. We consider three regression approaches. The results support, first, that correlations using firm data are lower than those observed using aggregate market index data. Second, the most important driver for home sector returns is the home market followed by the corresponding US sector. Third, correlations rose during the crisis but have stabilised and even fallen since. This supports the view that markets fall together but rise apart. Fourth, there is evidence that most sector correlations follow a market-wide component, but some sector correlations follow their own component. Subsequently, we examine the key drivers of time-varying correlations. We find that the market-wide component of correlations increases in a US bear market as well as with higher US market volatility and lower US interest rates. However, on a sector basis, there are notable exceptions with some correlations falling in a bear market. Together, these results support the view that diversification benefits remain across market sectors.|
|Rights:||This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted for publication in Journal of Asset Management. The final publication is available at Springer via https://doi.org/10.1057/s41260-016-0034-3|
|Evans_etal_JAM_2017.pdf||825.53 kB||Adobe PDF||Under Embargo until 1/5/2018 Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.
This item is protected by original copyright
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
If you believe that any material held in STORRE infringes copyright, please contact email@example.com providing details and we will remove the Work from public display in STORRE and investigate your claim.