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| Author: | Freimann, E. |
| Title: | Economic integration and country allocation in Europe |
| Journal: | Financial Analysts' Journal
1998 : SEP/OCT, VOL. 54:5, p. 32-41 |
| Index terms: | Securities Stock markets Assets European Monetary System Europe |
| Freeterms: | Asset allocation EMU |
| Language: | eng |
| Abstract: | The impact of European integration - at the company and macro levels - on correlations btw. stock market returns is analyzed. A new procedure based on randomization methodology is introduced to test for the absence of country-systematic differences in the return patterns of two stock markets. The results indicate that stock market integration in Europe is not yet complete, but the co-movement of European markets has increased substantially and is likely to continue to grow. Therefore, top-down managers of European equity portfolios need to look for a new strategy other than country-based allocation. |
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