Portfolio Diversification: Alive and Well in Euroland!

Kpaté ADJAOUTE and Jean-Pierre Danthine ()
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Kpaté ADJAOUTE: HSBC Republic Bank (Suisse), SA

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: 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.

Keywords: portfolio diversification; return dispersion; euro (search for similar items in EconPapers)
JEL-codes: F30 G11 G15 (search for similar items in EconPapers)
Date: 2001-07
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Related works:
Working Paper: Portfolio Diversification: Alive and well in Euroland ! (2001)
Working Paper: Portfolio Diversification: Alive and Well in Euroland! (2001)
Working Paper: Portfolio Diversification: Alive and well In Euroland (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:fam:rpseri:rp32

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