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Country and Sector Effects in Asia Pacific Markets

In: Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century

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  • Jianguo Chen
  • Yang Zhang
  • Ben R. Marshall

Abstract

This paper focuses on the impact of country and sector effects in Asia Pacific equity market returns. Our study concludes that Asia Pacific market returns are mainly driven by country effects. Accordingly, country diversification is the most useful tool for managing portfolio risk. Recent evidence from developed markets indicates that country effect is no longer dominant and that sector exposure is of increasing significance in managing portfolio risk. We observed the same phenomenon; the difference is that it happened after the crisis period, not during the period as observed in the previous study.

Suggested Citation

  • Jianguo Chen & Yang Zhang & Ben R. Marshall, 2005. "Country and Sector Effects in Asia Pacific Markets," Contemporary Studies in Economic and Financial Analysis, in: Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century, pages 179-197, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-3759(05)86009-7
    DOI: 10.1016/S1569-3759(05)86009-7
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    Cited by:

    1. Middleton, C.A.J. & Fifield, S.G.M. & Power, D.M., 2008. "An investigation of the benefits of portfolio investment in Central and Eastern European stock markets," Research in International Business and Finance, Elsevier, vol. 22(2), pages 162-174, June.

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