International Stock Returns and Market Integration
Author | : Mr.Marco Del Negro |
Publisher | : INTERNATIONAL MONETARY FUND |
Total Pages | : 0 |
Release | : 2002-11-01 |
ISBN-10 | : 1451874413 |
ISBN-13 | : 9781451874419 |
Rating | : 4/5 (419 Downloads) |
Download or read book International Stock Returns and Market Integration written by Mr.Marco Del Negro and published by INTERNATIONAL MONETARY FUND. This book was released on 2002-11-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.