Portfolio Diversification: Alive and Well in Euroland!
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.
|Date of creation:||Nov 2001|
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- Adjaoute, Kpate & Danthine, Jean-Pierre, 2001.
"EMU and Portfolio Diversification Opportunities,"
CEPR Discussion Papers
2962, C.E.P.R. Discussion Papers.
- 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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