Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 18, 2012 erstellt
Beschreibung:
This paper examines the role of common, country and industry effects in international diversification potential in ASEAN stock markets. Following a decomposition approach, we extract these effects from stock returns. We further examine the determinants of country effects using ICRG country risk indexes. Our sample comprises 3460 individual firms across ASEAN-5 classified using the industry classification benchmark (ICB) over the period 1994-2010. The decomposition analysis indicates that country effects dominate industry effects despite the increasing integration of economic and financial markets. However, a diminishing trend of country effects domination coupled with improving fundamentals in ASEAN-5 is observed during the recent subprime crisis. In addition, most of the variations in stock returns are attributed to common effects, suggesting strong integration of stock markets in ASEAN-5. Lastly, the determinant analysis shows political risk is the main driving forces behind the dominance of country effects