A STUDY OF POSSIBLE GAINS FROM INTERNATIONAL INVESTMENT AND THE STATIONARITY OF INTER‐COUNTRY CORRELATION COEFFICIENTS: A REPLY
回应Yallup的评论，重申作者1980年论文中关于国家间相关系数平稳性的检验结果，指出未拒绝原假设并不排除数据由其他过程生成的可能性。
Previous studies have demonstrated that substantial benefits (beyond those available from a naive diversification strategy) were available to the international investor who could perfectly predict future inter‐country correlation coefficients. The present author's second paper (Watson, 1980) tested the null hypothesis that the sample correlation coefficients were drawn from the same population. The fact that the null hypothesis was not rejected does not exclude the possibility, as Yallup correctly points out, that the data could be generated by another process.