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:||Jul 2001|
|Date of revision:|
|Publication status:||Published in Applied Financial Economics, vol. 14 (17), November 2004, pp. 1225-1231|
|Contact details of provider:|| Postal: Université de Lausanne, Faculté des HEC, DEEP, Internef, CH-1015 Lausanne|
Phone: ++41 21 692.33.20
Web page: http://www.hec.unil.ch/deep/publications/cahiers/series
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Geert Bekaert & Campbell R. Harvey, 1994.
"Time-Varying World Market Integration,"
NBER Working Papers
4843, National Bureau of Economic Research, Inc.
- Adjaoute, Kpate & Danthine, Jean-Pierre, 2001.
"EMU and Portfolio Diversification Opportunities,"
CEPR Discussion Papers
2962, C.E.P.R. Discussion Papers.
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