Dynamic condition correlation implication for international portfolio diversification : the case of German and French 1999-2008

الملخص EN

This study aimed mainly to examine the Dynamic conditional correlation between German and French stock markets.

This issue is carried out through Dynamic Conditional Correlation (DCC).

The empirical results showed that DAX30 and CAC40 are highly correlated and this may be due to fixing of the exchange rates between Germany and French stock markets in (1999) ; in addition to the monetary union has strengthened real integration among its members.

This confirms the results reported by Chappelle, et, al.

(2003) and Bale 2002.

So diversification strategies based on German and Frensh market are now less attractive.

We found that conditional correlation among DAX30 and CAC40 indexes have substantially increased in the mid-period of the study.