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Importance relative des effets pays et secteurs dans les marchés développés


  • L’Her, Jean-François

    (Recherche et conseil en politique de placement, Caisse de dépôt et le placement du Québec)

  • Le Moigne, Cécile

    (Recherche et conseil en politique de placement, Caisse de dépôt et le placement du Québec)

  • Savaria, Patrick

    (Recherche et conseil en politique de placement, Caisse de dépôt et le placement du Québec)


We examine over the last decade the relative importance of country and sector effects in explaining the cross-sectional variation in returns of stocks from developed markets. We use a methodology similar to Heston and Rouwenhorst, and document that sector effects have dominated country effects since 1998. Sector effects peaked in 2001, and have since decreased. Excluding the United States or the TMT (technology, media and telecommunications) sectors induces an increase in country effects, and a decrease in sector effects, but does not change our general conclusion. The currency effects make the country effects more pronounced, and do not materially modify the sector effects. Since 1998, sector diversification would have been much more beneficial for global equity portfolio management than country diversification. Nous examinons l’importance relative des effets pays et secteurs dans l’explication des différences de rendements des actions des marchés développés au cours de la dernière décennie. Utilisant une méthodologie similaire à Heston et Rouwenhorst, nous mettons en évidence que les effets secteurs ont dominé les effets pays depuis 1998, pour culminer en 2001, et diminuer sans cesse depuis. L’exclusion des États-Unis ou des secteurs TMT (technologies, médias et télécommunications) mène à une augmentation de l’importance des effets pays et une réduction de l’importance des effets secteurs. Toutefois, cela ne modifie pas notre conclusion générale. L’effet associé aux devises accentue l’importance relative des effets pays et ne modifie pas les effets secteurs. Depuis 1998, la diversification selon la dimension sectorielle aurait été plus avantageuse que la diversification selon la dimension pays.

Suggested Citation

  • L’Her, Jean-François & Le Moigne, Cécile & Savaria, Patrick, 2007. "Importance relative des effets pays et secteurs dans les marchés développés," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(2), pages 201-226, juin.
  • Handle: RePEc:ris:actuec:v:83:y:2007:i:2:p:201-226

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    References listed on IDEAS

    1. Brooks, Robin & Del Negro, Marco, 2004. "The rise in comovement across national stock markets: market integration or IT bubble?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 659-680, December.
    2. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
    3. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
    4. Tessitore, Anthony & Usmen, Nilufer, 2005. "Relative importance of industry and country factors in security returns," Global Finance Journal, Elsevier, vol. 16(1), pages 16-25, August.
    5. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
    6. Sanjeev Bhojraj & Charles M. C. Lee & Derek K. Oler, 2003. "What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research," Journal of Accounting Research, Wiley Blackwell, vol. 41(5), pages 745-774, December.
    7. Kuo, Weiyu & E. Satchell, Stephen, 2001. "Global equity styles and industry effects: the pre-eminence of value relative to size," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 1-28, March.
    8. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
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