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Journal articles (1995), Journal of International Money and Finance, pp. 3-26

Is the Correlation in International Equity Returns Constant : 1960-1990 ?

We study the correlation of monthly excess returns for seven major countries over the period 1960-1990. The correlation is unstable over time and this instability can be explained by a time-trend, the influence of economic variables and a threshold effect (which proves that the correlation is higher when we expect a high level of volatility).

LONGIN, F. and SOLNIK, B. (1995). Is the Correlation in International Equity Returns Constant : 1960-1990 ? Journal of International Money and Finance, pp. 3-26.