Structural shifts in equity flows and ETFs force up correlation, says HSBC

-lide1-jpg
Correlation rising

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: