Portfolio Diversification in Europe

Kpate Adjaouté, Jean-Pierre Danthine and Dusan Isakov
Additional contact information
Kpate Adjaouté: HSBC Republic Bank (Suisse) SA & FAME

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

Abstract: Have the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European investors are indeed better diversified, their consumption should be increasingly correlated. Second we check more directly what is known about the composition of Europeans’ portfolios. A third perspective focuses on the evolution of returns and prices. If indeed European investors are attempting to exploit new arbitrage opportunities opened up by the euro and European financial integration, then it is likely that these behavioral changes will be matched by significant changes in returns or in the nature of the return generating process. Finally, we explore the possibility that the answer to our question may be better revealed by examining the changes that have taken place in the investment process itself.

Keywords: Risk sharing; Portfolio holdings; financial market integration; cross sectional dispersion (search for similar items in EconPapers)
JEL-codes: F2 F36 G15 (search for similar items in EconPapers)
Date: 2003-04
New Economics Papers: this item is included in nep-bec and nep-fin
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.swissfinanceinstitute.ch/rp86.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.swissfinanceinstitute.ch/rp86.pdf [301 Moved Permanently]--> https://www.sfi.ch/rp86.pdf [302 Found]--> https://www.sfi.ch/en/rp86.pdf)

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:fam:rpseri:rp86

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().