Global asset allocation provides risk diversification. But international market correlation increases sharply during … global crises and diversification benefit disappears when it is most needed. We model these correlation breaks and derive the … asset allocation implications. The model can quickly detect crises and suggests adapting allocation for changing correlation …

volatility. Bekaert, Hodrick, and Zhang (2012) showed the high correlation across countries, documenting how most of the time … volatility per se but the dramatic increase in correlation between and within stock markets. A phenomenon interpreted by the … the increase in correlation during period of crisis. They found that markets tend to behave as one in time of crisis. I …

impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … horizon, such as 1 year, possibly meaning that for longer periods, structural economic factors impact correlation …

Ex ante (expected) average equity market correlation is linked to the differential correlation dynamics of growth and … existence of a homogeneous correlation among stocks with similar growth characteristics, depending on the prevailing … link to growth options and the value premium, implied correlation serves as a leading procyclical state variable. Value …

, and a market index. To capture the dynamic and asymmetric correlation effects at the industry portfolio level, we employ a …

market moves down or up. The risk premium for the down correlation is strongly negative, while the opposite is true for the … up correlation. These findings are consistent with the economic intuition that investors dislike the loss of … diversification when markets fall, but they actually prefer high correlation when markets rally …