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With the liberalization of capital markets and globalization, international security and portfolio investment has developed rapidly in recent years. This book examines the benefits from a UK perspective of diversifying into stocks traded on other developed and emerging market stock exchanges. The empirical study provides a mean-variance analysis of international portfolios over the period between July 1995 and July 2005. It focuses on the correlation of returns across a sample of stock exchanges, providing estimates of the correlations as well as testing statistically the stability of these correlations over time. The empirical results demonstrate that an investor from the UK would have benefited from holding an international portfolio, especially one made up of securities drawn from emerging markets over the period examined. Although an international diversification effect exists, it is unstable as the correlations of returns fluctuate over time and past relationships are not necessarily an accurate guide to the nature of future relationships.