Portfolio Diversification: Alive and well in Euroland !

Kpate Adjaoute and Jean-Pierre Danthine

Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie

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)
Pages: 17 pages
Date: 2001-07
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-ifn
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Published in Applied Financial Economics, vol. 14 (17), November 2004, pp. 1225-1231

Downloads: (external link)
http://www.hec.unil.ch/deep/textes/01.08.pdf (application/pdf)

Related works:
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)
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:lau:crdeep:01.08

Access Statistics for this paper

More papers in Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie Université de Lausanne, Faculté des HEC, Département d’économie, Internef, CH-1015 Lausanne. Contact information at EDIRC.
Bibliographic data for series maintained by Christina Seld ().