Country and industry factors in returns: Evidence from emerging markets' stocks

• Tipo: Artigo em Revista Científica Internacional
• Data: 2000

Autores

Serra, AP (Autor) FEP

Revista

Título: Emerging Markets Review

Vol. 1 Nº 2

Páginas: 127-151

ISSN: 1566-0141

Editora: Elsevier

Indexação

Scopus - 65 Citações

Outras Informações

ID Authenticus: P-007-981

Abstract (EN): This study examines the influence of country and industry factors on the cross-sectional variance and correlation structure of returns. I use new data on emerging markets' stocks obtained from the Emerging Markets Data Base. I find that emerging markets' returns are mainly driven by country factors, as it was shown previously in studies for mature markets, and that cross-market correlation is not affected by the industrial composition of the indices. These results have important implications in regard to international portfolio diversification: cross-market diversification seems to be a better bet than cross-industry diversification. A finer industry partition shows, however, that ignoring the industrial mix leads to an important loss of diversification benefits.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 24