Does purchasing stock in Australian multinational corporations create international portfolio diversification?

Does purchasing stock in Australian multinational corporations create international portfolio diversification?

While Australia leads the United States in direct stock ownership by private individuals, Australian investors perceive foreign shares as risky and question if the benefits of international portfolio diversification can be achieved by purchasing shares in multinational corporations. Attempting to answer this question, this study compares the weekly returns, total risk and Beta of a portfolio of Australian based multinational corporations (MNC) to a portfolio of Australian domestic companies. Given that the MNC Beta exceeds the domestic Beta yet the returns are not statistically different, investment in MNC shares does not appear to provide international diversification benefits to Australian shareholders.