In this paper, we find empirical evidence that diversification across countries results in greater risk reduction than diversification across industries. Our inter-temporal stability tests indicate that, the longer the time period considered, the better proxies ex post patterns of co-movement can be for the ex ante co-movements of international stock markets. Our seasonality tests show that international stock market co-movements are stable in the September-May period, but relatively unstable in the May-September period.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics