Economics at your fingertips  

Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns

Dusan Isakov () and Frédéric Sonney

Swiss Journal of Economics and Statistics (SJES), 2004, vol. 140, issue III, 355-379

Abstract: This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper re-examines this issue by analyzing a sample of more than 4000 stocks quoted in 20 developed countries. We find that on average the country effect still dominates stock returns over the period 1997-2000. This result has to be interpreted with caution though, as an analysis that allows for time-varying relative influences demonstrates the rapidly increasing impact of industry effects in recent times. We find, in particular, that this trend is common to all 20 developed countries considered and not only to those that are member of the European Monetary Union. We interpret this result as evidence of the increasing globalization of international equity markets.

Keywords: International stock markets; industries; global factors; diversification (search for similar items in EconPapers)
JEL-codes: F21 G12 G15 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
Working Paper: Are practitioners right? On the relative importance of industrial factors in international stock returns (2003) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Swiss Journal of Economics and Statistics (SJES) is currently edited by Rafael Lalive

More articles in Swiss Journal of Economics and Statistics (SJES) from Swiss Society of Economics and Statistics (SSES) Contact information at EDIRC.
Bibliographic data for series maintained by Peter Steiner ().

Page updated 2019-10-11
Handle: RePEc:ses:arsjes:2004-iii-4