摘要：We investigate shifts in correlation patterns among international equity returns at the
market level as well as the industry level. We develop a novel bivariate GARCH model
for equity returns with a smoothly time-varying correlation and then derive a Lagrange
Multiplier statistic to test the constant-correlation hypothesis directly. Applying the
test to weekly data from Germany, Japan, the UK and the US in the period 1980-2000,
we nd that correlations among the German, UK and US stock markets have doubled,
whereas Japanese correlations have remained the same. Both dates of change and
speeds of adjustment vary widely across countries and sectors.
