search query: @author Elschen, R. / total: 3
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| Author: | Elschen, R. Nelles, M. |
| Title: | Internationale Portfoliodiversifikation auf europäischen Aktienmärkten, 1993.1997: Implikationen für die Europäische Währungsunion |
| Journal: | Zeitschrift für Betriebswirtschaft
1999 : ERGÄNZUNGSHEFT 3, p. 1-18 |
| Index terms: | STOCK MARKETS EUROPE EUROPEAN MONETARY SYSTEM RISK |
| Language: | ger |
| Abstract: | The present paper analyzes the international correlations of the national stock markets and identifies the potential gains, which can be reaped by means of international diver- sification in the emerging European stock market relative to a strategy of purely national diversification both before and after European Monetary Union (EMU) comes into effect. To facilitate a comparison of the pre- and post- EMU effects of international diversification, we construct an EMU index- portfolio as an average of the national stock market indices weighted by the respective national market capitalizations. Independently of whether FX risk is accounted for, the international contemporaneous correlation coefficients of the national stock markets are all significantly lower than unity. |
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