A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market
This note provides evidence that there were long long-run benefits for a UK investor from diversifying in the equity markets of the US during the pre-October 1987 crash period. For the post-crash period, these benefits are reduced. These results are based on two distinct cointegration tests, and national indices from Morgan Stanley Capital International, which have several advantages over standard indices.
Volume (Year): 6 (1999)
Issue (Month): 1 ()
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