Fig. 4
From: Uncovering dynamic stock return correlations with multilayer network analysis
Aggregate Correlation and Industry Betas. The top panel plots the average pairwise correlation of all 30 industries for each year in the sample. We observe that there is no discernible trend in overall industry correlation over the period that we study. The bottom panel plots the average industry market beta for each community in each year. While there are differences in market beta across communities, these differences are not persistent, suggesting that time-varying loadings on to the first principal component of returns are not sufficient to explain our findings