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Euro-Zone Equity Returns: Country Versus Industry Effects

46 Pages Posted: 8 Nov 2005 Last revised: 7 Jan 2010

Esther Eiling

University of Amsterdam - Amsterdam Business School

Bruno Gerard

Norwegian School of Management (BI) - Department of Financial Economics

Frans de Roon

Tilburg University - Department of Finance

Date Written: October 2009

Abstract

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.

Keywords: International financial markets, style analysis, EMU, currency risk, financial market integration

JEL Classification: G11, G15

Suggested Citation

Eiling, Esther and Gerard, Bruno and de Roon, Frans, Euro-Zone Equity Returns: Country Versus Industry Effects (October 2009). EFA 2004 Maastricht Meetings Paper No. 3454; AFA 2006 Boston Meetings Paper. Available at SSRN: https://ssrn.com/abstract=567126 or http://dx.doi.org/10.2139/ssrn.567126

Esther Eiling (Contact Author)

University of Amsterdam - Amsterdam Business School ( email )

Plantage Muidergracht 12
Amsterdam, 1018 TV
Netherlands

Bruno Gerard

Norwegian School of Management (BI) - Department of Financial Economics ( email )

N-0442 Oslo
Norway

Frans A. De Roon

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 1 3466 8361/3025 (Phone)
+31 1 3466 2875 (Fax)

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