RT Journal Article SR Electronic T1 International Diversification JF The Journal of Investing FD Institutional Investor Journals SP 51 OP 68 DO 10.3905/joi.2007.681824 VO 16 IS 1 A1 Kevin C.H. Chiang A1 Christian Leonhard YR 2007 UL https://pm-research.com/content/16/1/51.abstract AB We use a recently developed decomposition method to study the variance composition of 18 major national indices over the period 1974-2001. We show that over the sample period, average country-specific volatility has increased with weakly statistical significance; accordingly, the benefits of international diversification have remained substantial. We also find that promoting economic integration has regional implications. By focusing on 10 European Union country indices, we find that the benefits of regional diversification within the EU have shrunk and the financial links among EU member states have been considerably strengthen over the sample period. Together these findings suggest that the between-region effects of international diversification have been growing over time, and international diversification is most effective when investors overcome their geographic proximity biases and invest in other regions.TOPICS: Mutual funds/passive investing/indexing, global, portfolio management/multi-asset allocation