RT Journal Article
SR Electronic
T1 Major Stock Market Linkages in the 2000–2001 Bear Market
JF The Journal of Investing
FD Institutional Investor Journals
SP 55
OP 62
DO 10.3905/joi.2002.319525
VO 11
IS 4
A1 Ilhan Meric
A1 Lewis W. Coopersmith
A1 Donald Wise
A1 Gulser Meric
YR 2002
UL https://pm-research.com/content/11/4/55.abstract
AB This study of the co-movements of the U.S., Japanese, U.K., German, and French stock markets during the March 27, 2000-April 4, 2001, bear market indicates that the five stock markets were highly correlated, and diversification benefits to U.S. investors with these markets were quite limited during the bear market period. Low correlations among the world's equity markets are often presented as evidence in support of portfolio gains to investors from international diversification. These findings indicate that investments in other major stock markets provide little or no diversification benefit to U.S. investors in a severe bear market, when diversification protection is needed the most. Comparisons of the March 2, 1999-March 26, 2000, bull market period and temporary up- and downswings in bull or bear markets confirm the point.