Euro-zone equity returns

Country versus industry effects

Research output: Contribution to journalArticleScientificpeer-review

Abstract

This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990–2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven mainly by the countries that were least integrated in the Economic and Monetary Union (EMU) and world markets in the early 1990s and for which the EMU convergence process led to rapid strengthening of linkages with the core Euro-zone. For markets with stronger economic linkages, industry effects dominate both before and after the introduction of the Euro.
Original languageEnglish
Pages (from-to)755-798
JournalReview of Finance
Volume16
Issue number3
Publication statusPublished - 2012

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Equity returns
Industry effects
Euro zone
Linkage
Economic and monetary union
Country effects
World market
Style analysis
Economics
Reversal
Integrated

Cite this

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title = "Euro-zone equity returns: Country versus industry effects",
abstract = "This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990–2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven mainly by the countries that were least integrated in the Economic and Monetary Union (EMU) and world markets in the early 1990s and for which the EMU convergence process led to rapid strengthening of linkages with the core Euro-zone. For markets with stronger economic linkages, industry effects dominate both before and after the introduction of the Euro.",
author = "E. Eiling and B. Gerard and {de Roon}, F.A.",
note = "Appeared earlier as CentER Discussion Paper 2005-002 (revised title)",
year = "2012",
language = "English",
volume = "16",
pages = "755--798",
journal = "Review of Finance",
issn = "1572-3097",
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}

Euro-zone equity returns : Country versus industry effects. / Eiling, E.; Gerard, B.; de Roon, F.A.

In: Review of Finance, Vol. 16, No. 3, 2012, p. 755-798.

Research output: Contribution to journalArticleScientificpeer-review

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T2 - Country versus industry effects

AU - Eiling, E.

AU - Gerard, B.

AU - de Roon, F.A.

N1 - Appeared earlier as CentER Discussion Paper 2005-002 (revised title)

PY - 2012

Y1 - 2012

N2 - This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990–2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven mainly by the countries that were least integrated in the Economic and Monetary Union (EMU) and world markets in the early 1990s and for which the EMU convergence process led to rapid strengthening of linkages with the core Euro-zone. For markets with stronger economic linkages, industry effects dominate both before and after the introduction of the Euro.

AB - This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990–2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven mainly by the countries that were least integrated in the Economic and Monetary Union (EMU) and world markets in the early 1990s and for which the EMU convergence process led to rapid strengthening of linkages with the core Euro-zone. For markets with stronger economic linkages, industry effects dominate both before and after the introduction of the Euro.

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VL - 16

SP - 755

EP - 798

JO - Review of Finance

JF - Review of Finance

SN - 1572-3097

IS - 3

ER -