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|
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- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 403-44, June.
- Kpate ADJAOUTÉ, & Jean-Pierre DANTHINE, 2000.
"EMU and Portfolio Diversification Opportunities,"
FAME Research Paper Series
rp31, International Center for Financial Asset Management and Engineering.
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