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The Impact of Euro on Sectoral Equity Returns and Portfolio Risk

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  • Maher Asal

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    File URL: http://hdl.handle.net/10.1007/s11294-011-9292-5
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    Bibliographic Info

    Article provided by Springer in its journal International Advances in Economic Research.

    Volume (Year): 17 (2011)
    Issue (Month): 2 (May)
    Pages: 119-133

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    Handle: RePEc:kap:iaecre:v:17:y:2011:i:2:p:119-133

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    Web page: http://www.springerlink.com/link.asp?id=112112

    Related research

    Keywords: Diversification; Volatility spillover; GARCH-M; G11; C22; C01;

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    1. Coeurdacier, Nicolas & Martin, Philippe, 2009. "The geography of asset trade and the euro: Insiders and outsiders," Journal of the Japanese and International Economies, Elsevier, vol. 23(2), pages 90-113, June.
    2. Robin Brooks & Marco Del Negro, 2002. "The rise in comovement across national stock markets: market integration or IT bubble?," Working Paper 2002-17, Federal Reserve Bank of Atlanta.
    3. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland.
    4. Kpate Adjaoute & Jean-Pierre Danthine, 2004. "Portfolio diversification: alive and well in Euro-land!," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1225-1231.
    5. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    6. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    7. Balli, Faruk & Ozer-Balli, Hatice, 2009. "Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?," MPRA Paper 14554, University Library of Munich, Germany.
    8. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
    9. Geert Bekaert & Campbell R. Harvey, 1997. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
    10. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
    11. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    12. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc.
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