Journal of Financial Economics Vol. 36 No. 1 1994
Does industrial structure explain the benefits of international diversification?
Abstract
We examine the influence of industrial structure on the cross-sectional volatility and correlation structure of country index returns for 12 European countries between 1978 and 1992. We find that industrial structure explains very little of the cross-sectional difference in country return volatility, and that the low correlation between country indices is almost completely due to country-specific sources of return variation. Diversification across countries within an industry is a much more effective tool for risk reduction than industry diversification within a country.
- DOI
- 10.1016/0304-405x(94)90028-0
- Volume
- 36
- Issue
- 1
- Pages
- 3-27
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref