Does Expectation of Correlation Breakdown in Financial Market Fulfill Itself?

<div>Frequency distribution of consensus variable <svg height="9.25202pt" id="M75" style="vertical-align:-3.29111pt" version="1.1" viewbox="-0.0498162 -5.96091 7.95594 9.25202" width="7.95594pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M383 397C383 424 344 448 299 448C244 448 172 409 132 375C66 319 23 227 23 146C23 42 74 -12 146 -12C208 -12 298 30 359 103L343 124C315 95 248 48 192 48C145 48 111 85 111 163C111 228 129 294 151 330C171 363 201 401 241 401C275 401 302 384 325 356C332 347 339 344 348 348C373 360 383 381 383 397Z" id="g113-100"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="406" vert-adv-y="406"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,4.173,3.132)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z" id="g50-117"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="347" vert-adv-y="347"></glyph.data></g></svg> for the US stock index (Datastream) calculated in the period of Janunary 1, 1993, to March 31, 2008.</div>

Discrete Dynamics in Nature and Society

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Figure 1

Figure 1: Does Expectation of Correlation Breakdown in Financial Market Fulfill Itself? 