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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) Downloads
Working Paper: Portfolio Diversification: Alive and Well in Euroland! (2001) Downloads
Working Paper: Portfolio Diversification: Alive and Well in Euroland! (2001) Downloads
Working Paper: Portfolio Diversification: Alive and well In Euroland (2001)
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