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International Portfolio Diversification: Evidence from European Emerging Markets

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  • Nikolaos L. Hourvouliades

Abstract

This paper examines the short-term and long-term relationships among eight European stock markets from 2000 to 2008. Three of these markets are considered mature: Euronext, Germany and Greece. The remaining five are considered emerging: Bulgaria, Cyprus, Romania, Slovenia and Turkey. We apply exhaustive statistical and econometric tests together with long-run cointegration and correlation analyses that yield mixed results concerning the markets’ relationships. We switch to a dynamic model of different interval moving averages, comparing the outcomes and revealing the individual characteristics of each market. The results are robust to sensitivity analysis based on partitioning the sample into multiple sub-periods and on translating indices to the Euro, the common currency for practically all of the markets. In addition, the Euronext and Germany stock exchanges serve as benchmarks and each equity market is examined from their point of view. Evidence shows that equity integration is existent, making international portfolio diversification less effective.

Suggested Citation

  • Nikolaos L. Hourvouliades, 2009. "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-78.
  • Handle: RePEc:ers:journl:v:xii:y:2009:i:4:p:55-78
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    File URL: http://www.ersj.eu/repec/ers/papers/09_4_p5.pdf
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    References listed on IDEAS

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    Cited by:

    1. MARINESCU Ion-Iulian, 2015. "Central And East European Non-Euro Zone Capital Markets: Are They Worth The Risk?," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(1), pages 90-98, February.
    2. Razvan Stefanescu & Ramona Dumitriu, 2015. "Impact Of The Shocks From Nyse On The Romanian Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 371-376.
    3. Kasilingam Lingaraja & Murugesan Selvam & Vinayagamoorthi Vasanth & Ramachandran Rajesh Ramkumar, 2015. "Long-run Overseas Portfolio Diversification Benefits and Opportunities of Asian Emerging Stock Markets and Developed Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 324-333.

    More about this item

    Keywords

    Portfolio diversification; European emerging stock markets; dynamic interdependency; cointegration; correlation;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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