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Portfolio Diversification: Alive and well in Euroland !

  • Kpate ADJAOUTE
  • Jean-Pierre DANTHINE

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 Université de Lausanne, Faculté des HEC, DEEP in its series Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) with number 01.08.

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Length: 17 pages
Date of creation: Jul 2001
Date of revision:
Publication status: Published in Applied Financial Economics, vol. 14 (17), November 2004, pp. 1225-1231
Handle: RePEc:lau:crdeep:01.08
Contact details of provider: Postal: Université de Lausanne, Faculté des HEC, DEEP, Internef, CH-1015 Lausanne
Phone: ++41 21 692.33.64
Web page: http://www.hec.unil.ch/deep/publications/cahiers/series
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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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