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    The Effect of the Euro on Country Versus Industry portfolio Diversification.

    Flavin, Thomas (2004) The Effect of the Euro on Country Versus Industry portfolio Diversification. UNSPECIFIED. (Unpublished)

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    We examine the relative benefits of industrial versus geographical diversification in the Euro zone before and after the introduction of the common currency. A priori, one may expect that increased stock market correlation would precipitate a move from geographical towards industrial diversification. We employ the empirical model of Heston and Rouwenhorst but show that adopting a panel data approach is a more efficient estimation method. We find evidence of a shift in factor importance; from country to industry. However, this is not exclusive to the Euro zone but is also present for non-EMU European countries. Therefore, fund managers should pursue industrial rather than geographical diversification strategies.

    Item Type: Other
    Additional Information: Department of Economics Working paper series N141/10/04
    Keywords: Portfolio diversification, industry and country effects, Euro.
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 146
    Depositing User: Thomas Flavin
    Date Deposited: 06 Oct 2004
    Refereed: No
      Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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