DP3086 Portfolio Diversification: Alive and Well in Euroland!
|Author(s):||Kpate Adjaoute, Jean-Pierre Danthine|
|Publication Date:||November 2001|
|Keyword(s):||euro, portfolio diversification, return dispersion|
|JEL(s):||F30, G11, G15|
|Programme Areas:||International Macroeconomics, Financial Economics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=3086|
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.