Volume 13, Numbers 3 & 4 / September/December , Pages 155-321
The Effect of Extreme Markets on the Benefits of International Portfolio Diversification
Multinational Finance Journal, 2009, vol. 13, no. 3/4, pp. 155-188
Daniella Acker , University of Bristol, U.K.    Corresponding Author
Nigel W. Duck , University of Bristol, U.K.

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. Contrary to most other studies we find that correlations fall in both bull and bear markets, although far more in the former; that emerging markets provide both additional diversification benefits for investors in developed markets and, especially, some protection during bear markets.

Keywords : International equity markets; correlations; portfolio choice
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