6533b7d3fe1ef96bd12607c3
RESEARCH PRODUCT
Region vs. Industry Effects and Volatility Transmission
Francisco ClimentSorianopilarsubject
Economics and EconometricsFinancial economicsDominance (economics)AccountingEconometricsEconomicsVolatility transmissionStock market indexFinanceStock (geology)description
This article presents an analysis of the relative importance of region versus industry effects in stock returns, as opposed to the extensively analyzed country versus industry effects. The sample includes the period after the bursting of the technology bubble. Moreover, volatility transmission patterns are analyzed within an industry across regions to assess whether the same international links found in aggregate stock market indices exist at the industry level. The results confirm the dominance of region effects over industry effects, except during the bubble period. The results of the volatility transmission analysis suggest that the importance of spillovers depends on the industry.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2006-11-01 | Financial Analysts Journal |