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Euro-Zone Equity Returns: Country versus Industry Effects

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  • Esther Eiling
  • Bruno Gerard
  • Frans A. De Roon

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. Copyright 2011, Oxford University Press.

Suggested Citation

  • Esther Eiling & Bruno Gerard & Frans A. De Roon, 2011. "Euro-Zone Equity Returns: Country versus Industry Effects," Review of Finance, European Finance Association, vol. 16(3), pages 755-798.
    • Handle: RePEc:oup:revfin:v:16:y:2011:i:3:p:755-798
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    File URL: http://hdl.handle.net/10.1093/rof/rfq034
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    Cited by:

    1. Sylvia Gottschalk, 2023. "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2843-2873, July.
    2. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.

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