Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets
使用波动性分解方法，研究1974至2001年间发达股票市场在世界、国家和行业层面的波动性变化，发现1990年代行业波动性显著上升，导致行业间相关性下降，需要更多资产来实现分散化。
Abstract This paper uses a volatility decomposition method to study the time-series behavior of equity volatility at the world, country, and local industry levels. Between 1974 and 2001, there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.