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The Changing Roles of Industry and Country Effects in the Global Equity Markets

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Author Info

  • Kate Phylaktis
  • Lichuan Xia

Abstract

This paper examines the roles of country and industry effects on international equity returns using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001. The study focuses on the evolving process of those effects over time and on geographical differences. The main results are as follows: although the country effects still dominate the industry effects in the full sample period, there has been a major upward shift in industry effects since 1999. The degree of this shift varies across regions and is prominent in Europe and North America, while in Asia Pacific and Latin America, country effects still dominate. The increasing industry effects are not found to be confined to the Technology, Media and Telecommunications sectors and thus are not considered a temporary phenomenon. The above developments have implications for international portfolio diversification.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/13518470500460202
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

Volume (Year): 12 (2006)
Issue (Month): 8 ()
Pages: 627-648

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Handle: RePEc:taf:eurjfi:v:12:y:2006:i:8:p:627-648

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Web page: http://www.tandfonline.com/REJF20

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Related research

Keywords: Portfolio diversification; risk; international equity markets; industrial structure;

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Cited by:
  1. 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.
  2. 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.
  3. Bai, Ye & Green, Christopher J., 2010. "International diversification strategies: Revisited from the risk perspective," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 236-245, January.
  4. Bley, Jorg, 2009. "European stock market integration: Fact or fiction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 759-776, December.

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