Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100976
Authors: 
Brooks, Robin
Del Negro, Marco
Year of Publication: 
2002
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2002-17a
Abstract: 
A stylized fact in the portfolio diversification literature is that diversifying across countries is more effective than diversifying across industries in terms of risk reduction. But with the rise in comovement across national stock markets since the mid-1990s, this no longer appears to be true. We explore whether this change is driven by global integration and therefore likely to be permanent, or if it is a temporary phenomenon associated with the recent stock market bubble. Our results point to the latter hypothesis. In the aftermath of the bubble, diversifying across countries may therefore still be effective in reducing portfolio risk.
Subjects: 
Financial markets
Risk
Markets
Document Type: 
Working Paper

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