Abstract
The past decade has seen a drastic increase in the globalisation of financial markets which, in turn, has resulted in the increase in global financial market integration. This has made it progressively more difficult for effective diversification to exist and as a result, portfolio managers are in need of alternative diversification opportunities. An examination of the existing literature suggests that developed financial markets are more likely to be integrated with one another and that better diversification opportunities may be found in emerging markets with specific reference to South Africa. Furthermore, it is evident that a limited body of research exists that focuses on bond market diversification. The limited research that does exist either, does not include South Africa as a diversification destination or, takes the viewpoint of the South African investor...