Eurozone Equity Market Diversification: Is it Still Worth?

Chinese Business Review, Vol. 11, No. 1, pp. 29-43, 2011

Posted: 6 Feb 2012

See all articles by Fabio Pizzutilo

Fabio Pizzutilo

Università degli Studi di Bari “Aldo Moro”

Date Written: February 6, 2012

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 benefited 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.

Keywords: international diversification, Eurozone equity markets, Eurozone diversification, Eurozone efficient frontier, mean variance analysis, European monetary union, Eurozone correlation analysis

JEL Classification: F36, G11

Suggested Citation

Pizzutilo, Fabio, Eurozone Equity Market Diversification: Is it Still Worth? (February 6, 2012). Chinese Business Review, Vol. 11, No. 1, pp. 29-43, 2011, Available at SSRN: https://ssrn.com/abstract=2000095

Fabio Pizzutilo (Contact Author)

Università degli Studi di Bari “Aldo Moro” ( email )

largo Abbazia S. Scolastica, 53
Bari, 70124
Italy

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