Diversification opportunities in Euroland appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. We identify low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations. The most recent post-euro period is clearly associated with an important upswing with return dispersions exceeding for the first time their peaks of the early nineties.
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Length: 17 pages Date of creation: Jul 2001 Date of revision: Publication status: Published in Applied Financial Economics, vol. 14 (17), November 2004, pp. 1225-1231 Handle: RePEc:lau:crdeep:01.08
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