Abstract

Abstract

The present study has the objective of verifying if simultaneous investments in several international stock markets are more attractive than in only one national stock market, in other words, if the first ones present a superior risk-return relationship. It can be admitted that if there is a total integration among the analyzed countries, there is little advantage in the international diversification, but if the countries are less integrated, the diversification would bring advantages in risk-return terms. The empirical work is based on Markowitz portfolio theory, CAPM and in the portfolio performance measures of Sharpe, Treynor, and Jensen. The analysis was made for the period of February 1993 to January 2003, based in the most liquid stocks negotiated in the stock market of the main countries of Latin America. The results showed that portfolio diversification in international markets is a better approach.