The aim of this paper is to verify if there still are advantages in diversification inside the Eurozone despite the economic and monetary unification process. The results clearly show the benefits of the Eurozone equity diversification. The introduction of constraints on short selling significantly reduces these benefits. For asset managers and practitioners, the analysis shows unambiguously that, despite the economic and monetary union and notwithstanding the high degree of correlation between the European markets, opportunities for diversification still exist. Most of the previous literature on the international diversification has adopted an U.S. perspective. Few papers assumed a European point of view. This paper fills this knowledge gap by focusing its analysis on the Eurozone markets. In contrast with previous literature, the profitability of international diversification has been verified for all countries under consideration, and not just from the standpoint of one nation alone.
IS EUROZONE DIVERSIFICATION STILL VALUABLE?
PIZZUTILO, FABIO
2010-01-01
Abstract
The aim of this paper is to verify if there still are advantages in diversification inside the Eurozone despite the economic and monetary unification process. The results clearly show the benefits of the Eurozone equity diversification. The introduction of constraints on short selling significantly reduces these benefits. For asset managers and practitioners, the analysis shows unambiguously that, despite the economic and monetary union and notwithstanding the high degree of correlation between the European markets, opportunities for diversification still exist. Most of the previous literature on the international diversification has adopted an U.S. perspective. Few papers assumed a European point of view. This paper fills this knowledge gap by focusing its analysis on the Eurozone markets. In contrast with previous literature, the profitability of international diversification has been verified for all countries under consideration, and not just from the standpoint of one nation alone.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
