The sources of country and industry variations in ASEAN

Meng-Horng Lee, Chee-Wooi Hooy and Terence Tai Leung Chong

Macroeconomics and Finance in Emerging Market Economies, 2018, vol. 11, issue 1, 19-35

Abstract: This paper examines the possible determinants for the sources of country and industry variations in Association of Southeast Asian Nations (ASEAN) stock returns across financial crises. Using 4043 firms from 6 ASEAN countries and 40 industries, from 1990 to 2010, we found that lagged country return and concentration are among the determinants that explain the country factors in the region, while size proved to be the determinant of industry factors for both tradable and non-tradable industries. In general, a higher previous return and lower industrial concentration would increase the country factor. We documented the loss of explanatory power of these determinants in the presence of crisis effects.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:11:y:2018:i:1:p:19-35

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DOI: 10.1080/17520843.2016.1270983

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