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Industry and country factors in emerging market returns: Did the Asian crisis make a difference?

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  • Bai, Ye
  • Green, Christopher J.
  • Leger, Lawrence

Abstract

Should investors diversify across emerging stock markets or across industries to achieve improvements in their risk–return tradeoffs especially during financial crisis periods? We examine the issue using individual firm data from a selection of emerging markets and including the period of the 1997 Asian financial crisis. We find that country effects were the dominant force behind the low co-movements among emerging stock market returns. There is evidence of increased industry effects beginning at the time of the Asian financial crisis, but this may have been a temporary phenomenon associated with contagion effects during the crisis.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:ememar:v:13:y:2012:i:4:p:559-580
    DOI: 10.1016/j.ememar.2012.09.006
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    References listed on IDEAS

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    Cited by:

    1. Boamah, Nicholas Addai & Loudon, Geoffrey & Watts, Edward J., 2017. "Structural breaks in the relative importance of country and industry factors in African stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 79-88.
    2. Keffala, Mohamed Rochdi, 2015. "How using derivatives affects bank stability in emerging countries? Evidence from the recent financial crisis," Research in International Business and Finance, Elsevier, vol. 35(C), pages 75-87.
    3. repec:wsi:rpbfmp:v:20:y:2017:i:01:n:s0219091517500047 is not listed on IDEAS
    4. repec:eee:quaeco:v:65:y:2017:i:c:p:88-96 is not listed on IDEAS
    5. Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.
    6. Wen, Yi-Chieh & Lin, Philip T. & Li, Bin & Roca, Eduardo, 2015. "Stock return predictability in South Africa: The role of major developed markets," Finance Research Letters, Elsevier, vol. 15(C), pages 257-265.

    More about this item

    Keywords

    Emerging equity markets; Diversification; Cross-sectional variation; 1997 financial crisis;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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