یوستن به یورو و تاثیر آن بر تنوع بخشی پرتفوی کشور

By examining the impact of the introduction of the Euro on stock markets and on country diversification within the Eurozone, the evidence does not suggest a high risk to the stock market to justify a risk premium as a result of currency union. Although the Euro market integration has increased inter-country correlations, it does not preclude gains from international diversification, which partially rely on the non-Eurozone countries for an optimal portfolio in a mean-variance framework. Furthermore, the empirical evidence supports that there is a significant stationarity of average correlations over time between pre-Euro and post-Euro periods, and it has improved since the introduction of the Euro. Also, results show that the Euro produced a change in volatility with a different pace within the Eurozone vis-à-vis non-Eurozone countries, to support a direct and opposite relationship between volatility and correlation.

Monetary unions are groups of countries that share a currency, usually sharing geographical borders but not always and that often have close trade and other financial relationships with one another. The Eurozone is the largest and best-known monetary union is the “Eurozone” utilized by 16 of the 27 countries in the European Union.1 The 16 members are Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, The Netherlands, Portugal, Spain, Slovenia, Slovakia, Cyprus, and Malta. In January 1999, the decision of 11 EU members to form an island of fixed exchange rates among themselves gave birth to the Euro. Since then, the European popular press has been flooded with reports about whether the Euro is better for the European stock markets than the previous non-Euro currencies. Nevertheless, given the possibility of more EU countries adopting the Euro, the transaction domain of the Euro may become larger than that of the United States (US) dollar in the future as the “accession countries” fulfill the monetary requirements one-by-one.2 The Noble Prize winner Mundell (2000) stated, “The creation of the Euro area will eventually, but inevitably, lead to competition with the dollar area, both from the standpoint of excellence in monetary policy, and in the enlistment of other currencies.” This strategy has been initiated by adopting various preliminary steps such as the integration and coordination of the member countries’ monetary and fiscal policies, and the establishment of the European Central Bank (ECB) in Frankfurt, Germany to regulate banks within the European borders and to issue the Euro. In the history of world financial systems, the introduction of the Euro in 1999 represents a momentous event that has had profound ramifications for the world economy for various aspects of international finance and, most likely, for other potential monetary unions (e.g., Gulf Arab States and Southern African Development Community unions). Due to the strong trade relationships among European countries, the perceived benefits of the Euro are great. The creation of a single currency is expected to improve market goods and services and allow capital to move easily within the Eurozone without restrictions, establishing in effect a much larger efficient market (e.g., Hasan and Lothian, 2004, Seeder, 2003, Billio and Pelizzon, 2003 and Cheung and Westermann, 2001). Since its inception, the Euro has already brought about revolutionary changes in European finance. For instance, by redenominating corporate and government bonds and stocks from 12 different currencies into the common currency, the Euro has precipitated the emergence of continent-wide capital markets in Europe that is comparable to US market in its depth and liquidity.3 The rest of the paper is structured as follows. Section 2 presents a short review of related studies. Section 3 outlines the suggested method and introduces the data and the notation used in this paper. Section 4 discusses the impact of the Euro on stock behavior and presents the initial results. Section 5 investigates whether the change of currency has influenced the benefits of international diversification within the Eurozone and in other non-Eurozone countries. Section 6 tests the hypotheses concerning the stationarity of inter-country correlation and volatility of returns across various Eurozone and non-Eurozone states. Finally, Section 7 concludes this paper and presents the research contribution schema.

The purpose of this study was to investigate the impact of the introduction of the Euro on European stock markets and determine how an investor could use international stocks within the Eurozone countries as an additional investment to their national stocks to reduce the overall risk. Four major contributions have been presented in addition to those in the existing literature. First, the paper shows that under the null hypothesis of market learning about the Euro currency having no impact on returns, the evidence demonstrates that the impact of the introduction of the Euro was different for all Eurozone countries. Negative impacts were observed on some countries while no impact was observed on others (i.e., Germany and France). Second, the paper examines the impact of the introduction of the Euro on the international diversification within the Eurozone and in the non-Eurozone countries. The results show that the benefits of international diversification still exist while the gains from such diversification were limited during the convergence period, before the launch of the Euro. Third, in a mean-variance framework, the data confirm that although Euro market integration has lessened the benefits of international portfolio diversification, the gains from international diversification are even more impressive when other stocks from non-Eurozone countries are included. This finding suggests that an investor who frequently balances her international portfolio would have been better off by decreasing the investment proportion during the convergence period – a period less promising to international diversification – and revising her position after the launch of the Euro. Fourth, as with past studies that have investigated the inter-temporal pattern of correlations and volatilities in international stock diversification, the results support that there is a difference between pre-Euro and post-Euro periods in all samples (full sample, or sample without US stocks, or Eurozone countries). The coefficients are observed to be greater in the post-Euro period than in the pre-Euro period. Thus, there is a great deal of stability of average correlations over time, and it has improved after the introduction of the Euro. Furthermore, the results of the stationarity of average inter-country correlation coefficients are found to be far from a perfect positive correlation provide the essential conditions for the anticipated international diversification in ex ante settings notably using a Markowitz model. The changes in volatility, which may be caused by the Euro, produced less stable volatility within the Eurozone, and that is in line with the past analysis that there is a direct and opposite relationship between volatility and correlation. Higher dispersion implies lower correlation and higher diversification gains, with the opposite in the presence of lower dispersion and higher correlation. One of the practical implications of the study is that European investors can improve their stock portfolio performance by holding Euro and non-Euro stocks. It is the stability of correlations between various markets that is a necessary prerequisite for successful ex ante investment. It is reasonable to focus on diversification of stocks with international Euro countries, especially Austria as the empirical evidence shows in the sample. Another implication is that future monetary unions should expect the impact of such policy as a favorable move for the international portfolio investor. Notably, a monetary union will provide them the high degree of financial integration with the outside capital markets. Currently, global attention could now be directed to Gulf Cooperation Council (GCC) monetary union which represents the six Arab Gulf states, guided by the European Central Bank toward the implementation of a single regional currency.