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Indices as diversification instruments in Europe

  • Marie-Paule Laurent
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/14631/1/rou-0224.pdf
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 03-004.RS.

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    Length: 39 p.
    Date of creation: 2003
    Date of revision:
    Publication status: Published by: Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB)
    Handle: RePEc:sol:wpaper:03-004
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    Web page: http://difusion.ulb.ac.beEmail:


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    1. William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank.
    2. John M. Griffin & Rene M. Stulz, 1997. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns," NBER Working Papers 6243, National Bureau of Economic Research, Inc.
    3. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    4. Lessard, Donald R, 1974. "World, National, and Industry Factors in Equity Returns," Journal of Finance, American Finance Association, vol. 29(2), pages 379-91, May.
    5. John M. Griffin, 2002. "Are the Fama and French Factors Global or Country Specific?," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 783-803.
    6. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    7. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
    8. Francesca Carrieri, 2001. "The Effects of Liberalisation on Market and Currency Risk in the European Union," European Financial Management, European Financial Management Association, vol. 7(2), pages 259-290.
    9. Foort HAMELINK, & Hélène HARASTY & Pierre HILLION, 2001. "Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001," FAME Research Paper Series rp35, International Center for Financial Asset Management and Engineering.
    10. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
    11. Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
    12. Steven L. Heston & K. Geert Rouwenhorst & Roberto E. Wessels, 1999. "The Role of Beta and Size in the Cross-Section of European Stock Returns," European Financial Management, European Financial Management Association, vol. 5(1), pages 9-27.
    13. Beckers, Stan & Grinold, Richard & Rudd, Andrew & Stefek, Dan, 1992. "The relative importance of common factors across the European equity markets," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 75-95, February.
    14. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
    15. Bernd Kempa & Michael Nelles, 2001. "International correlations and excess returns in European stock markets: does EMU matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 69-73.
    16. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier.
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