Region vs. Industry Effects and Volatility Transmission

Posted: 20 Jan 2007

See all articles by Pilar Soriano

Pilar Soriano

University of Valencia - Department of Financial Economics

Francisco J. Climent

University of Valencia - Department of Financial Economics

Abstract

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.

Keywords: Portfolio Management, Equity Strategies, Asset Allocation

Suggested Citation

Soriano Felipe, Pilar and Climent Diranzo, Francisco José, Region vs. Industry Effects and Volatility Transmission. Financial Analysts Journal, Vol. 62, No. 6, pp. 52-64, November/December 2006, Available at SSRN: https://ssrn.com/abstract=953063

Pilar Soriano Felipe (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. de los naranjos s/n
Valencia, 46022
Spain
+34 963828369 (Phone)
+34 963828370 (Fax)

Francisco José Climent Diranzo

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain
00-34-963828369 (Phone)
00-34-963828370 (Fax)

HOME PAGE: http://www.uv.es/~fcliment

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