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Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies

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Author Info
Siv Taing () (Queensland University of Technology)
Andrew Worthington () (University of Wollongong)
Abstract

This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCHM) models are used to consider the impact of returns in other European markets on the returns in each market across each sector. The results indicate that there are relatively few significant interrelationships between sectors in different markets, with most of these accounted for by the larger markets in France, Germany and Italy. The evidence also suggests the consumer discretionary, financial and materials sectors are relatively more interrelated than the consumer staples and industrials sectors. This has clear implications for portfolio diversification and asset pricing in the EU.

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Publisher Info
Article provided by Universidad del CEMA in its journal Journal of Applied Economics.

Volume (Year): VIII (2005)
Issue (Month): (November)
Pages: 371-388
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Handle: RePEc:cem:jaecon:v:8:y:2005:n:2:p:371-388

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Related research
Keywords: Risk and return; volatility; autoregressive conditional heteroskedasticity;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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    Other versions:
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    Other versions:
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