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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. Adjaoute, Kpate & Danthine, Jean-Pierre, 2001. "Portfolio Diversification: Alive and Well in Euroland!," CEPR Discussion Papers 3086, C.E.P.R. Discussion Papers.
    2. Nicolas Coeurdacier & Philippe Martin, 2009. "The geography of asset trade and the euro: Insiders and outsiders," NBER Chapters, in: Financial Globalization, 20th Anniversary Conference, NBER-TCER-CEPR National Bureau of Economic Research, Inc.
    3. Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance 0405022, EconWPA.
    4. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
    5. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    6. 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.
    7. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc.
    8. 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.
    9. 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.
    10. 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.
    11. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
    12. 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.
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