The core idea of risk sharing is that individual country risks should be negatively correlated, so if the home country is affected by a negative shock, some foreign countries face a positive shock at the same time, and the returns from those countries would protect internationally diversified investors from domestic income losses.
But the increased financial globalization not only made it easier for investors to invest in different countries, it also made it easier for financial crises to spread across borders. If international investors have to recover from a crisis in country A, they might start selling assets from country B, which was until then in no way affected by any sign of crisis.