Firms' Industry and Country Effects in Emerging Markets

26 Pages Posted: 2 Jun 2006

See all articles by Lichuan Xia

Lichuan Xia

City University London - Sir John Cass Business School

Kate Phylaktis

City University London - Sir John Cass Business School

Date Written: June 2006

Abstract

The paper compares the dynamics of global, country and industry effects in firm level returns between emerging and mature markets. Based on 1,893 firms in MSCI global index from 1990 to 2002 from 37 countries our results show that the global and industry effects are still dominated by the country effects in emerging markets in contrast to developed markets. The results are robust to controlling for variables which might have significant impact on firms' factor effects, such as the firm's business globalization, financial market integration and TMT sector affiliation. Our findings have important implications for international portfolio diversification.

Keywords: International Diversification, Country/Industry Effects, Emerging Markets, Financial Integration, Global Linkages

JEL Classification: G11, G15

Suggested Citation

Xia, Lichuan and Phylaktis, Kate, Firms' Industry and Country Effects in Emerging Markets (June 2006). Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=905789 or http://dx.doi.org/10.2139/ssrn.905789

Lichuan Xia

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

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