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Portfolio Diversification: Alive and Well in Euroland!

  • Adjaoute, Kpate
  • Danthine, Jean-Pierre

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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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3086.

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Date of creation: Nov 2001
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Handle: RePEc:cpr:ceprdp:3086
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  1. Kpate ADJAOUTÉ, & Jean-Pierre DANTHINE, 2000. "EMU and Portfolio Diversification Opportunities," FAME Research Paper Series rp31, International Center for Financial Asset Management and Engineering.
  2. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
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