The introduction of the Euro and its effects on portfolio decisions |
| |
Authors: | Rainer Haselmann Helmut Herwartz |
| |
Affiliation: | 1. Johannes-Gutenberg University Mainz, Jakob-Welder Weg 4, 55099 Mainz, Germany;2. Christian-Albrechts-University Kiel, Olshausenstrasse 40-60, 24118 Kiel, Germany |
| |
Abstract: | Examining investment behavior related to the Euro introduction, we address the relevance of different investment determinants. With the advent of the currency union two potential sources of portfolio reallocation can be distinguished: First, the diminishment of exchange rate risk and transaction costs within the EMU. Second, the increase of correlation of EMU returns so that diversification benefits decreased. We test for structural breaks in the holdings of German investors and estimate a market model to account for the two effects. A significant decrease in national and an increase in EMU and rest-of-the-world investments can be observed. Comparing the observed holdings with benchmark portfolios, we find that investment home bias has diminished since the Euro introduction. |
| |
Keywords: | F21 F33 F36 G15 |
本文献已被 ScienceDirect 等数据库收录! |
|