CROSS-SECTIONAL CORRELATION: NEW EVIDENCE ON .CHANGING CORRELATIONS AND CORRELATION BREAKDOWN IN EQUITY MARKETS
As an alternative to the traditional time-series based correlation measure Solnik and Roulet (2000) suggests a different correlation measure based on the cross-sectional dispersion ofasset returns. This paper focuses on this cross-sectional correlation and finds that the level of correlation in the...
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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
2006-03-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150624111009-LI7KD.pdf |