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The Importance of Industry and Country Effects in the EMU Equity Markets

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  • Miguel Almeida Ferreira
  • Miguel �ngelo Ferreira
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    Abstract

    "Most empirical studies find that country effects are larger than industry effects in stock returns, although industry effects have gained in importance recently. Our results support the dominance of country effects relative to industry and common effects in the EMU equity markets in the 1975-2001 period. However, there is an increasing importance of industry effect relative to country effect in the 1990s. In fact, industry effects is similar in magnitude to country effect in the post-euro period. The evolution of the ratio of country to industry effect is explained by the decrease in the cross-sectional variance of interest rate movements across EMU countries. Thus, there is evidence that nominal convergence has reduced the differences between national equity markets." Copyright Blackwell Publishers Ltd, 2006.

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    Bibliographic Info

    Article provided by European Financial Management Association in its journal European Financial Management.

    Volume (Year): 12 (2006)
    Issue (Month): 3 ()
    Pages: 341-373

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    Handle: RePEc:bla:eufman:v:12:y:2006:i:3:p:341-373

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    Cited by:
    1. Kräussl, Roman & Krause, Stefan, 2012. "Has Europe been catching up? An industry level analysis of venture capital success over 1985 - 2009," CFS Working Paper Series 2012/16, Center for Financial Studies (CFS).
    2. Joliet, Robert & Hubner, Georges, 2008. "Corporate international diversification and the cost of equity: European evidence," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 102-123, February.
    3. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2014. "European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?," CAMA Working Papers 2014-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
    5. Roman Kraussl & Stefan Krause, 2013. "Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985-2009," CREA Discussion Paper Series 13-6, Center for Research in Economic Analysis, University of Luxembourg.
    6. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.

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