Euro-Zone Equity Returns: Country Versus Industry Effects
University of Toronto - Joseph L. Rotman School of Management
Norwegian School of Management (BI) - Department of Financial Economics
Frans De Roon
Tilburg University - Department of Finance
EFA 2004 Maastricht Meetings Paper No. 3454
AFA 2006 Boston Meetings Paper
This paper investigates whether Euro-zone equity returns are driven by country or industry effects over the 1990 to 2008 period. Using a style analysis approach, we find that before the introduction of the Euro country effects dominate, while industry effects prevail after 1999. This reversal at the aggregate level is driven mainly by countries that were least integrated in the EMU and world markets prior to the Euro launch. For markets with stronger economic linkages, such as Germany and France, industry effects dominate both in the nine years before and in the nine years after the introduction of the Euro.
Number of Pages in PDF File: 46
Keywords: International financial markets, style analysis, EMU, currency risk, financial market integration
JEL Classification: G11, G15
Date posted: November 8, 2005 ; Last revised: January 7, 2010
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