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
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Citations: View citations in EconPapers (11)
Published in Applied Financial Economics, vol. 14 (17), November 2004, pp. 1225-1231
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:lau:crdeep:01.08
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