Answer
With increasing correlation between stocks in America and stocks in Europe, it is more likely that when you lose in one American stock, you will also lose in European stock. Hence, the protection of covering loss by buying stocks in different countries is reduced.
Work Step by Step
With increasing correlation between stocks in America and stocks in Europe, it is more likely that when you lose in one American stock, you will also lose in European stock. Hence, the protection of covering loss by buying stocks in different countries is reduced.
