Faculty Scholarship 1994 - Present
Did the Co-Movements of National Stock Markets Change After the crash of 1987?
The principal components analysis and Box's M test results show that the co -movement patterns of the World's stock markets changed significantly after the crash. Low correlations among national stock markets are often presented as evidence in support of the benefits of international portfolio diversification. Our findings in this study indicate that correlations among national stock markets increased substantially, therefore, the benefits of international diversification decreased considerably, after the crash.