title={The Effect of Extreme Markets on the Benefits of International Portfolio Diversification},
author={Daniella Acker and Nigel Duck},
journal={Multinational Finance Journal},
publisher={Multinational Finance Society; Global Business Publications},
keywords={International equity markets; correlations; portfolio choice},
abstract={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..},