Abstract

http://ssrn.com/abstract=903199
 
 

References (29)



 
 

Citations (9)



 


 



The Importance of Industry and Country Effects in the EMU Equity Markets


Miguel A. Ferreira


Nova School of Business and Economics; European Corporate Governance Institute (ECGI)

Miguel Ângelo Ferreira


Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) - School of Business


European Financial Management, Vol. 12, No. 3, pp. 341-373, June 2006

Abstract:     
Most empirical studies find that country effects are larger than industry effects in stock returns, although industry effects have gained in importance recently. Our results support the dominance of country effects relative to industry and common effects in the EMU equity markets in the 1975-2001 period. However, there is an increasing importance of industry effect relative to country effect in the 1990s. In fact, industry effects is similar in magnitude to country effect in the posteuro period. The evolution of the ratio of country to industry effect is explained by the decrease in the crosssectional variance of interest rate movements across EMU countries. Thus, there is evidence that nominal convergence has reduced the differences between national equity markets.

Number of Pages in PDF File: 34

Accepted Paper Series





Date posted: May 19, 2006  

Suggested Citation

Ferreira, Miguel A. and Ferreira, Miguel Ângelo, The Importance of Industry and Country Effects in the EMU Equity Markets. European Financial Management, Vol. 12, No. 3, pp. 341-373, June 2006. Available at SSRN: http://ssrn.com/abstract=903199 or http://dx.doi.org/10.1111/j.1354-7798.2006.00324.x

Contact Information

Miguel Almeida Ferreira (Contact Author)
Nova School of Business and Economics ( email )
Campus de Campolide
Lisbon, 1099-032
Portugal
European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Miguel Ângelo Ferreira
Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) - School of Business
Complexo INDEG/ISCTE
Av. Prof. Anibal Bettencourt
1600-189 Lisboa, 1649-026
Portugal
351 217958607 (Phone)
351 217958605 (Fax)
HOME PAGE: http://en.gestao.iscte.org/ibs/faculty/index.php?docente=5&PHPSESSID=debb3ed4238f6326012fa9227a351e9
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