摘要：In this paper we examine the correlation structure of the major world equity
markets over 150 years. We find that correlations vary considerably through time and are
highest during periods of economic and financial integration such as the late 19th and 20th
centuries. Our analysis suggests that the diversification benefits to global investing are
not constant, and that they are currently low compared to the rest of capital market
history. We decompose the diversification benefits into two parts: a component that is
due to variation in the average correlation across markets, and a component that is due to
the variation in the investment opportunity set. There are periods, like the last two
decades, in which the opportunity set expands dramatically, and the benefits to
diversification are driven primarily by the existence of marginal markets. For other
periods, such as the two decades following World War II, risk reduction is due to low
correlations among the major national markets. From this, we infer that periods of
globalization have both benefits and drawbacks for international investors. They expand
the opportunity set, but diversification relies increasingly on investment in emerging
markets.
