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Eurozone stock returns co-movement: Some findings for portfolio managers and central bankers

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  • Radoslaw Kurach

    ()
    (Faculty of Economic Science, Wroclaw University of Economics, Poland)

Abstract

TIn this paper we assess the level of country risk vs industry risk for the Eurozone national stock markets and the measure of dispersion is used to deliver the desired estimates. We find a significant and permanent increase in the level of country risk since the beginning of the recent global financial crisis. This conclusion may be important both for portfolio managers and monetary policymakers.

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Bibliographic Info

Article provided by Prague Development Center in its journal Business and Economic Horizons (BEH).

Volume (Year): 5 (2011)
Issue (Month): 2 (April)
Pages: 1-12

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Handle: RePEc:pdc:jrnbeh:v:5:y:2011:i:2:p:1-12

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Related research

Keywords: Diversification gains; EMU.;

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  1. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  2. Elbourne, Adam & Salomons, Roelof, 2004. "Monetary transmission and equity markets in the EU," Research Report 04E15, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  3. Gonçalves, Carlos Eduardo S. & Rodrigues, Mauro & Soares, Tiago, 2009. "Correlation of business cycles in the euro zone," Economics Letters, Elsevier, vol. 102(1), pages 56-58, January.
  4. Ólan T. Henry & Nilss Olekalns & Jonathan Thong, 2004. "Do stock market returns predict changes to output? Evidence from a nonlinear panel data model," Empirical Economics, Springer, Springer, vol. 29(3), pages 527-540, 09.
  5. Jan Babecky & Lubos Komarek & Zlatuse Komarkova, 2013. "Financial Integration at Times of Financial Instability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 25-45, March.
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