The realized correlation coefficient between each sector and the market (IMAGE)
Caption
It shows the evolution of the realized correlation coefficients RCorr_τ between sectors and markets. The long-term correlation between each sector and the market as a whole increased significantly during the 2015–2016 Chinese stock market crash and the 2020–2021 COVID-19 pandemic. However, there is significant heterogeneity in the long-term correlations between sectors and the market as a whole in more periods. In the following section, we include the low-frequency realized correlation coefficients in the modeling of asymmetric sector-market dependence to analyze whether and to what extent it affects the dynamics of upper and lower tail dependence.
Credit
Kun-Liang Jiang, Liang-Ying Su, Xin-Yu Mi and Jia-Shan Song (Southwest University of Science and Technology, China) Si-Yao Wei (East China University of Science and Technology, China)
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