IDEAS home Printed from https://ideas.repec.org/a/pdc/jrnbeh/v5y2011i2p1-12.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://academicpublishingplatforms.com/downloads/pdfs/beh/volume5/201105020158_01_BEH_5_PL_RadoslawKurach_Eurozone_Stock.pdf
    Download Restriction: no
    File URL: http://academicpublishingplatforms.com/article.php?journal=BEH&number=5&article=255
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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, vol. 29(3), pages 527-540, September.
    2. 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, vol. 63(1), pages 25-45, March.
    3. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    4. 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.
    5. Jappelli, Tullio & Pagano, Marco, 2008. "Financial market integration under EMU," CFS Working Paper Series 2008/33, Center for Financial Studies (CFS).
    6. 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).
    Full references (including those not matched with items on IDEAS)

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pdc:jrnbeh:v:5:y:2011:i:2:p:1-12. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jaroslav Holecek) or (Rebekah McClure). General contact details of provider: http://edirc.repec.org/data/pradecz.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.