ABSTRACT
In this chapter, convergence and divergence of nancial systems is addressed through the point of view of the investor. is study points out the di erence between the international integration of nancial markets which means an equalization of prices of risk and the correlation among them indicating that assets are a ected by similar events. Each of these aspects follows his own path. Stock market correlation is measured since the middle of the nineteenth century to 2008. Tools o ered by Modern Portfolio eory are used to analyse incentives to diversify. To achieve a consistent result these tools require high-quality data. Indeed, even a slight default in the construction methodology of the data is magni ed with time. High-quality data imply dividend series since dividends were the major source of return before 1914.1 Unfortunately, these kind of data are not easily available. Consequently, this study focuses only on markets with high quality data: France and the United States.
