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In this paper, we measure the effect of financial integration on the gains from international portfolio diversification. Our earnings analysis covers nine financial markets, which account for over 70% of global market capitalization. Two main results emerged from our analysis. On one hand, the asymmetric extension of the GARCH multivariate model, with dynamic conditional correlation, confirms that the gains were statistically and economically significant for all sample countries and that they varied significantly in time, space, and by market. On the other hand, the increase in market volatility, especially since the subprime crisis, has led to lower gains from international portfolio diversification. This would explain the preference for domestic assets over foreign ones. Codes J.E.L.: G10, G11, G14, G15, C01, C58