Macroeconomic Factors and International Industry Returns

Posted: 18 Feb 2014

See all articles by Stelios Markoulis

Stelios Markoulis

University of Cyprus - Department of Public and Business Administration; Frederick University; Cyprus International Institute of Management (CIIM)

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: 2002

Abstract

The aim of this article is to examine the global sources of risk in 38 international industries for the period 1987:3-1997:10. Past studies on industry returns and risk have been performed at a national level. However, given the global integration of various industry sectors, it would be interesting to examine the importance of international industry stock returns at the global level. The investment implications of this article, therefore, are that investors could make capital gains by timing their investments, and/or adjust the degree of their portfolio diversification, not only across industries domestically or across countries, internationally but also across global industries. A unique database compiled by Morgan Stanley Capital International on 38 international industries is used. The return on the world equity market portfolio and innovations in the following pre-specified set of global macro variables are employed in the analysis: (i) industrial production, (ii) infiation, (iii) oil prices, (iv) fluctuations in exchange rates against the US dollar, and (v) a measure of credit risk. The most important finding ofthis paper is that the long run impacts of macroeconomic news have different effects in different industries.

Suggested Citation

Markoulis, Stelios and Kavussanos, Manolis G., Macroeconomic Factors and International Industry Returns (2002). Applied Financial Economics, Vol. 12, No. 12, 2002, pp. 923 - 931. Available at SSRN: https://ssrn.com/abstract=1435290

Stelios Markoulis

University of Cyprus - Department of Public and Business Administration ( email )

75 Kallipoleos Street
P.O. Box 20537
Nicosia CY-1678
CYPRUS

Frederick University ( email )

7, Y. Frederickou Str.
Pallouriotisa
Nicosia, 1036
Cyprus

Cyprus International Institute of Management (CIIM) ( email )

P.O Box 20378
Aglandjia
Nicosia, CY-2151
Cyprus

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

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