The Changing Role of Industry and Country Effects in Global Equity Markets
42 Pages Posted: 2 Jun 2006
Date Written: 2006
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: Suggested Citation