The Effect of Extreme Markets on the Benefits of International Portfolio Diversification

Daniella Acker () and Nigel W. Duck
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Daniella Acker: University of Bristol, U.K.
Nigel W. Duck: University of Bristol, U.K.

Multinational Finance Journal, 2009, vol. 13, issue 3-4, 155-188

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.

Keywords: International equity markets; correlations; portfolio choice (search for similar items in EconPapers)
JEL-codes: F3 G1 G10 G11 G15 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:13:y:2009:i:3-4:p:155-188

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