Portfolio Diversification: Alive and Well in Euroland!
Kpaté Adjaoute and
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Kpaté Adjaoute: HSBC Republic Bank (Suisse), SA
FAME Research Paper Series from International Center for Financial Asset Management and Engineering
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)
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Journal Article: Portfolio diversification: alive and well in Euro-land! (2004)
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: https://EconPapers.repec.org/RePEc:fam:rpseri:rp32
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