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Review of Finance Vol. 16 No. 3 2012

Euro-Zone Equity Returns: Country versus Industry Effects

Esther Eiling1; Bruno Gérard2; Frans A. De Roon3

1 1Rotman School of Management, University of Toronto · 2 2Norwegian School of Management BI and Department of Finance, Tilburg University · 3 3Department of Finance, CentER and Netspar, Tilburg University

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Abstract

This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990–2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven mainly by the countries that were least integrated in the Economic and Monetary Union (EMU) and world markets in the early 1990s and for which the EMU convergence process led to rapid strengthening of linkages with the core Euro-zone. For markets with stronger economic linkages, industry effects dominate both before and after the introduction of the Euro.

DOI
10.1093/rof/rfq034
Volume
16
Issue
3
Pages
755-798
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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