Structural shifts in equity flows and ETFs force up correlation, says HSBC
Correlation in the global equity market has been rising since 2000 and is now at record high levels, with implied correlation in August 2010 reaching a level similar to that of the credit crisis, according to HSBC, in a report dated September 10, 2010.
The change is measured by implied correlation: in 2007, the correlation between the constituent stocks of the S&P 500 stocks was around 40%, rising to 50-60% as the crisis built, and then spiking at 80% in October 2008, before slipping back to 55
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Structured products
Derivatives
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
Receive this by email