Please use this identifier to cite or link to this item: http://ktisis.cut.ac.cy/handle/10488/5119
Title: Are there still portfolio diversification benefits in Eastern Europe? Aggregate versus sectoral stock market data
Are there still portfolio diversification benefits in Eastern Europe? Aggregate versus sectoral stock market data
Authors: Aslanidis, Nektarios 
Savva, Christos S. 
Aslanidis, Nektarios 
Keywords: Stock return comovement
Sectoral correlations
Portfolio diversification
New EU Members
Stock return comovement
Sectoral correlations
Portfolio diversification
New EU Members
Issue Date: 2011
Publisher: John Wiley & Sons
John Wiley & Sons
Source: The Manchester School, 2011, Issue The Manchester School The Manchester School Volume 79, Issue 6, Pages 1323–1352
The Manchester School, 2011, Issue The Manchester School The Manchester School Volume 79, Issue 6, Pages 1323�1352
Abstract: The advent of the European Union has decreased the diversification benefits available from country based equity market indices in the region. This paper measures the increase in stock integration between the three largest new EU members (Hungary, the Czech Republic and Poland who joined in May 2004) and the Euro-zone. We allow for a potentially gradual change in correlation between stock markets, which seems particularly appropriate to analyse the increasing integration between the Eastern European and the Euro-zone stock markets over the recent years. At the country market index level all three Eastern European markets show a considerable increase in correlations in 2006. At the industry level the dates and transition periods for the correlations differ, and the correlations are lower although also increasing. The results show that sectoral indices in Eastern European markets may provide larger diversification opportunities than the aggregate market.
The advent of the European Union has decreased the diversification benefits available from country based equity market indices in the region. This paper measures the increase in stock integration between the three largest new EU members (Hungary, the Czech Republic and Poland who joined in May 2004) and the Euro-zone. We allow for a potentially gradual change in correlation between stock markets, which seems particularly appropriate to analyse the increasing integration between the Eastern European and the Euro-zone stock markets over the recent years. At the country market index level all three Eastern European markets show a considerable increase in correlations in 2006. At the industry level the dates and transition periods for the correlations differ, and the correlations are lower although also increasing. The results show that sectoral indices in Eastern European markets may provide larger diversification opportunities than the aggregate market.
URI: http://ktisis.cut.ac.cy/handle/10488/5119
http://ktisis.cut.ac.cy/handle/10488/5119
DOI: 10.1111/j.1467-9957.2011.02229.x
10.1111/j.1467-9957.2011.02229.x
Rights: © 2011 The Authors. The Manchester School. All rights reserved.
� 2011 The Authors. The Manchester School. All rights reserved.
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