Advances in computer and telecommunications technology have contributed to the emergence of more integrated global financial markets, allowing for the dissemination of information and the execution of transactions on a real-time basis around the clock and around the globe. To determine if an investor can gain additional diversification benefits by investing in today’s increasingly integrated global financial markets, returns on four different indices – Standard & Poor’s Composite 500, Morgan Stanley Capital International World Index; Europe, Australia and Far East Index; and the MSCI Europe Index – are analyzed for a 22-year period, from 1978-2000. Keywords: diversification, mutual fund selection, risk reduction

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