This paper examines the dynamic conditional correlations between the Chinese sector returns and the S&P500 index returns and offers an interpretation for the heterogeneity of sector-level return correlations. Using a sample of 12 Chinese sectors for the period of 2006-2014, we first observe that...

This paper examines the dynamic conditional correlations between the Chinese sector returns and the S&P500 index returns and offers an interpretation for the heterogeneity of sector-level return correlations. Using a sample of 12 Chinese sectors for the period of 2006-2014, we find that their...

This paper computes the dollar-weighted returns (DWRs) on the aggregate corporate sector in each of the 43 sample countries, and shows that the DWRs in U.S. dollars are similar across countries. In contrast, the local-currency DWRs are found to be different across countries, suggesting a role...