Why does correlation increase as a market achieves integration?

This is something I saw on slide 35 of the the Asset Allocation (Part 2) video class on Schweser and will obviously therefore also be mentioned in the curriculum etc…

Can someone help me understand why as the market integrates the diversification benefit would decline (correlation would increase)?


My conclusion is just for math purpose. Some detailed discussion please see below.



Edit: after reading the two links, I think I might be better served to use a different perspective, but I’m not sure haha… totally retracting that reply… It’s been a long day no