This article investigates the dependence of G10 countries' equity markets on the US market, particularly when the US experiences upturns or downturns in the market. If indeed the dependence is high in the downturn market, then investors will not benefit from international diversification when it...

This article examines the change in the dependence between two emerging equity markets (Korean and Thai) returns due to July 1997-financial crisis. The nonparametric chi- and K-plots reveal that these two markets were largely independent before the crisis and became significantly dependent in...