Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2004 erstellt
Beschreibung:
Most empirical studies find that country effects are larger than industry effects in stock returns, although industry effects are gaining importance in recent times. Our results confirm the dominance of country effects relative to industry and common effects in the EMU equity markets in the 1975-2001 period. However, there is an increasing importance of industry effects relative to country effects in the 1990s. In fact, industry effects present similar magnitude than country effects in the 1999-2001 period. The evolution of the ratio of country to industry effects is explained by the decrease in the cross-sectional variance of interest rate and exchange rate movements across EMU countries. Thus, there is evidence that nominal convergence has reduced the differences among national equity markets