We measure market integration at a firm-level for the US stock market with the rest of the world. The properties of firm-level integration are explored across time and industries and then stocks are sorted into high- and low-integration portfolios. The role of the least globally integrated US stocks in domestic and international portfolio diversification is assessed. We show that these stocks can statistically and economically augment diversification potential, especially after 2000. The same stocks can be combined with the US market index to create a portfolio that performs at least as well as an international index portfolio in terms of risk-adjusted returns and tail risk.

我们在公司层面衡量美国股市与世界其他地区的市场一体化程度。跨时间和跨行业探索公司层面整合的属性，然后将股票分为高整合度和低整合度投资组合。评估了全球一体化程度最低的美国股票在国内和国际投资组合多元化中的作用。我们表明，这些股票可以在统计上和经济上增强多元化潜力，特别是在 2000 年之后。同样的股票可以与美国市场指数结合起来，创建一个在风险调整回报方面至少与国际指数投资组合表现相同的投资组合和尾部风险。