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Title: Portfolio Diversification: Alive and Well in Euroland!

Author(s): Kpate Adjaoute and Jean-Pierre Danthine

Publication Date: November 2001

Keyword(s): euro, portfolio diversification and return dispersion

Programme Area(s): Financial Economics and International Macroeconomics

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.

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Bibliographic Reference

Adjaoute, K and Danthine, J. 2001. 'Portfolio Diversification: Alive and Well in Euroland!'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=3086