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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.

Suggested Citation

  • Radoslaw Kurach, 2011. "Eurozone stock returns co-movement: Some findings for portfolio managers and central bankers," Business and Economic Horizons (BEH), Prague Development Center, vol. 5(2), pages 1-12, April.
    • Handle: RePEc:pdc:jrnbeh:v:5:y:2011:i:2:p:1-12
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Diversification gains; EMU.;

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F30 - International Economics - - International Finance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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