INTERNATIONAL DIVERSIFICATION WITH DIFFERENT CAPS STOCKS: AN EXAMINATION IN DEVELOPED AND EMERGING MARKETS

摘要

This research showed that the behavior of returns generated from Large- and Small- Cap stocks are quite difference and should not be ignored by international portfolio investors. We found that Small-Cap markets have low correlations with World market indices and among each other. Large-Cap funds have high correlations with World market indices and each other. Investors can obtain additional gains from international diversification if they consider including Small-Cap stocks in their portfolio, especially in emerging countries.