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

• Type: Article in International Scientific Journal
• Date: 2000

Authors

Serra, AP (Author) FEP

Journal

Title: Emerging Markets Review

Vol. 1 No. 2

Pages: 127-151

ISSN: 1566-0141

Publisher: Elsevier

Indexing

Scopus - 65 Citations

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 24