Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales … diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be … needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification …

We show that the last few components in the principal component analysis of the correlation matrix of a group of stocks …

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …