If the international equity market is integrated, identical stocks listed on different international stock exchanges should have the same rates of return, the same characteristics of stock price behavior and similar distributions of daily rates of return.

We examine the risk and return properties of equity/bond portfolios before and after inclusion of a diversified portfolio of long commodity futures contracts. Inclusion of the commodities, which are proxied by the CRB and GSCI indices from 1970 to 1990, enhances the risk and return...