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A STUDY OF POSSIBLE GAINS FROM INTERNATIONAL INVESTMENT AND THE STATIONARITY OF INTER‐COUNTRY CORRELATION COEFFICIENTS: A REPLY
Author(s) -
Watson J.
Publication year - 1982
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1982.tb00977.x
Subject(s) - null hypothesis , diversification (marketing strategy) , econometrics , economics
Previous studies have demonstrated that substantial benefits (beyond those available from a naive diversification strategy) were available to the international investor who could perfectly predict future inter‐country correlation coefficients. The present author's second paper (Watson, 1980) tested the null hypothesis that the sample correlation coefficients were drawn from the same population. The fact that the null hypothesis was not rejected does not exclude the possibility, as Yallup correctly points out, that the data could be generated by another process.