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The Impact Of Eu Integration On The Risk-Return Trade-Off Of European Diversified Portfolios

Author

Listed:
  • Alexandra Horobet

    (Academy of Economic Studies, Bucharest/Romania)

  • Sorin Dumitrescu

    (Academy of Economic Studies, Bucharest/Romania)

  • Dan Gabriel Dumitrescu

    (Academy of Economic Studies, Bucharest/Romania)

  • Iulia Tintea

    (Academy of Economic Studies, Bucharest/Romania)

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 in-creased 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 di-versified 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 port-folio. If this were true, then EU emerging markets represent diversification opportunities for euro-based investors.

Suggested Citation

  • Alexandra Horobet & Sorin Dumitrescu & Dan Gabriel Dumitrescu & Iulia Tintea, 2010. "The Impact Of Eu Integration On The Risk-Return Trade-Off Of European Diversified Portfolios," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2010, pages 121-134, july.
    • Handle: RePEc:aic:journl:y:2010:v:se:p:121-134
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    More about this item

    Keywords

    international diversification; capital market integration; correlations; emerging mar-kets; European Union;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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