EconPapers    
Economics at your fingertips  
 

The Impact of the (2011) Devaluation of the Swiss Franc on Eurozone Equity Benchmark Diversification

Daniel Broby, Raphael Faessler, Milenko Josavac and Christophe Dehut
Additional contact information
Daniel Broby: Department of Accounting and Finance, Strathclyde University, United Kingdom
Raphael Faessler: Department of Accounting and Finance, Strathclyde University, United Kingdom
Milenko Josavac: Department of Accounting and Finance, Strathclyde University, United Kingdom,
Christophe Dehut: Department of Accounting and Finance, Strathclyde University, United Kingdom

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 3, 1270-1286

Abstract: We investigate the diversification benefits of adding Switzerland to a Eurozone equity portfolio, both before and after the removal of Swiss franc peg to the euro. We use a mean-variance portfolio framework to compare the benchmark indices in the Eurozone, including a direct comparison between Switzerland and Germany as substitute market. We investigate the diversification effect both before and during the policy of a minimum exchange rate EURO/CHF. Furthermore, we compare the outcome of the mean-variance portfolio with an equally weighted portfolio composed out of a screened sample of both Swiss value and growth stocks. Our findings suggest that an equally weighted Swiss value portfolio (1/N) will generate the best risk adjusted performance when compared to a market capitalisation weighted index of Eurozone equities. We conclude that Eurozone investors would benefit from diversifying their portfolio with some exposure to the Swiss equity market and in particular Swiss value stocks.

Keywords: Company-specific Political Risk; Swiss Stock Market; Portfolio Diversification; Optimal Portfolios; Currency; Benchmark (search for similar items in EconPapers)
JEL-codes: G14 G28 P16 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econjournals.com/index.php/ijefi/article/download/2585/pdf (application/pdf)
http://www.econjournals.com/index.php/ijefi/article/view/2585/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2016-03-58

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().

 
Page updated 2025-03-19
Handle: RePEc:eco:journ1:2016-03-58