The paper aims at verifying if there still are advantages in diversification inside the Eurozone despite the economic and monetary unification process. The results show unambiguously that notwithstanding the high degree of correlation between the Eurozone stock markets, opportunities for diversification still exist. The introduction of constraints on short selling significantly reduces these benefits. Investors from the European leading countries would have greatly benefitted from a Eurozone portfolio diversification strategy. The advantages of diversification appear to change significantly over time and from country to country. The results are also conclusive in reflecting the instability of the historical mean-variance data.
Eurozone Equity Market Diversification: Is It Still Worth?
PIZZUTILO, FABIO
2012-01-01
Abstract
The paper aims at verifying if there still are advantages in diversification inside the Eurozone despite the economic and monetary unification process. The results show unambiguously that notwithstanding the high degree of correlation between the Eurozone stock markets, opportunities for diversification still exist. The introduction of constraints on short selling significantly reduces these benefits. Investors from the European leading countries would have greatly benefitted from a Eurozone portfolio diversification strategy. The advantages of diversification appear to change significantly over time and from country to country. The results are also conclusive in reflecting the instability of the historical mean-variance data.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
