Can the gains from international diversification be achieved without trading abroad?

We examine whether portfolios of domestically traded securities can mimic f oreign indices so that investment in assets that trade only abroad is not n ecessary to exhaust the gains from international diversification. We use mo nthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean-variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home-ma de diversification have become statistically and economically insignificant . Finally, we show that the incremental gains from international diversific ation beyond home-made diversification portfolios have diminished over time in a way consistent with changes in investment barriers.