Long-run benefits from international equity diversification: a note on the Canadian evidence

Abstract

This note provides evidence that there exist long-run benefits for a Canadian investor from diversifying in the equity markets of the US, Japan, and the six largest European markets namely those of the UK, Germany, France, Switzerland, Italy and the Netherlands. This evidence is based on tests for pairwise cointegration between the Canadian national equity index and the equity index for each of the other markets.