The Changing Role of Industry and Country Effects in Global Equity Markets

42 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: 2006

Abstract

Using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001 this paper examines the roles of the country and industry effects in international equity returns. It focuses on their evolution and on geographical differences. Although the country effects still dominate the industry effects in the full sample period, there has been a major upward shift in the industry effects since 1999, especially in Europe and North America. This is not confined to the Technology, Telecommunications and Media sectors and is not thus a temporary phenomenon. These developments have implications for international portfolio diversification.

Keywords: Portfolio diversification, Risk, International Equity Markets, Industrial structure

JEL Classification: G11, G15

Suggested Citation

Xia, Lichuan and Phylaktis, Kate, The Changing Role of Industry and Country Effects in Global Equity Markets (2006). Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=905793 or http://dx.doi.org/10.2139/ssrn.905793

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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