Abstract
This study examines the intertemporal stability of the covariance and correlation of returns for a sample of firms traded on the Bolsa Mexicana de Valores during 1993-2000. The results reveal that: (1) the variance-covariance and correlation matrices tend to be more stable for shorter sub-periods than longer sub-periods, (2) there appears to be a "size effect" in variance-covariance and correlation stability--large firms tend to be more stable than smaller firms, and (3) correlations tend to exhibit more stability than the variance-covariance matrices.