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.
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Volume (Year): 6 (1999)
Issue (Month): 1 ()
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