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Has Europe outgrown its national boundaries?

Author

Listed:
  • T Goodwin

    (Senior research analyst, Frank Russell Limited in London)

  • L Ross

    (Frank Russell Company)

Abstract

This paper provides a robust examination of the shift from country to sector as the primary risk driver for large cap European equities. This study differs from many others in that it utilises both cross-sectional and time-series techniques, index and stock-level data, and two sector definitions. Moreover, it examines the effect of the technology sector, a unified currency and capitalisation size on both pan- and continental-European data to affirm the robustness of the findings. Ultimately, it is shown that, with the notable exception of small capitalisation stocks, sector has gained importance over country as Europe has moved toward financial integration and a unified currency. This conclusion is not sensitive to the technology sector, currency, data vendor, modelling technique or sector definition. The paper concludes with a discussion of implications for the investment management community.

Suggested Citation

  • T Goodwin & L Ross, 2002. "Has Europe outgrown its national boundaries?," Journal of Asset Management, Palgrave Macmillan, vol. 3(1), pages 39-54, July.
    • Handle: RePEc:pal:assmgt:v:3:y:2002:i:1:d:10.1057_palgrave.jam.2240064
    DOI: 10.1057/palgrave.jam.2240064
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