Is the case for international diversification still intact? Some evidence from return gaps and correlations

Jesse de Beer, Anmar Pretorius

    Research output: Contribution to journalArticleResearchpeer-review

    Abstract

    The recent global financial crisis once again emphasized the importance of understanding the nature and degree of co-movement between stock markets and how it impacts on global diversification possibilities. This study investigates diversification possibilities from the perspective of South African investors, using weekly stock market returns both in local and US currency to calculate correlation coefficients and return gaps. The sample includes developed markets as well as emerging markets. Given the similarities between South African and developed stock markets, diversification benefits mostly arise within the emerging markets, particularly the Brazil, Russia, India, China (BRIC) countries.
    Original languageEnglish
    Pages (from-to)9773 - 9782
    Number of pages10
    JournalAfrican Journal of Business Management
    Volume6
    Issue number35
    DOIs
    Publication statusPublished - 2012

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