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ARE THERE STILL PORTFOLIO DIVERSIFICATION BENEFITS IN EASTERN EUROPE? AGGREGATE VERSUS SECTORAL STOCK MARKET DATA *
Author(s) -
ASLANIDIS NEKTARIOS,
SAVVA CHRISTOS S.
Publication year - 2011
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/j.1467-9957.2011.02229.x
Subject(s) - diversification (marketing strategy) , economics , czech , stock market , european union , stock (firearms) , index (typography) , portfolio , stock market index , aggregate data , financial economics , economic geography , international economics , business , geography , medicine , context (archaeology) , archaeology , pathology , marketing , linguistics , philosophy , world wide web , computer science
In this paper we measure the increase in stock integration between the three largest new European Union members (Hungary, the Czech Republic and Poland) and the Euro‐zone using both country and industry level data. 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.