The impact of EU integration on the risk-return trade-off of European diversified portfolios Cover Image

The impact of EU integration on the risk-return trade-off of European diversified portfolios
The impact of EU integration on the risk-return trade-off of European diversified portfolios

Author(s): Alexandra Horobet, Sorin Dumitrescu, Dan Gabriel Dumitrescu, Iulia Tintea
Subject(s): Business Economy / Management, International relations/trade, EU-Accession / EU-DEvelopment, Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: international diversification; capital market integration; correlations; emerging markets; European Union;

Summary/Abstract: The increase in international economic integration in the past decades, fueled by the amplified trade and financial flows around the world changed the size and scope of benefits that international investors may obtain from holding diversified portfolios. Our paper investigates the impact of increased capital market co-movements between emerging and developed markets from European Union, in the following directions: (1) analysis of cross-market correlations and identification of trends in cross-market correlations; (2) analysis of the risk-return performance of European portfolios formed of developed and emerging markets assets. Our approach attempts to investigate whether a diversified portfolio on a European basis, which includes developed and emerging EU markets, offers euro-based investors a better risk and/or return as compared to a purely developed EU markets portfolio. If this were true, then EU emerging markets represent diversification opportunities for euro based investors.

  • Issue Year: 57/2010
  • Issue No: Spec
  • Page Range: 121-133
  • Page Count: 13
  • Language: English