International Stock Returns and Market Integration: A Regional Perspective

29 Pages Posted: 14 Feb 2006

See all articles by Ray Brooks

Ray Brooks

International Monetary Fund (IMF) - Asia and Pacific Department

Marco Del Negro

Federal Reserve Bank of New York

Date Written: November 2002

Abstract

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.

Keywords: Diversification, risk, international financial markets, industrial structure

JEL Classification: G11, G15

Suggested Citation

Brooks, Ray and Del Negro, Marco, International Stock Returns and Market Integration: A Regional Perspective (November 2002). IMF Working Paper No. 02/202, Available at SSRN: https://ssrn.com/abstract=880844

Ray Brooks (Contact Author)

International Monetary Fund (IMF) - Asia and Pacific Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Marco Del Negro

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

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