Eiling, E., Gerard, B. and \de Roon\, F.A. (2012). Euro-zone equity returns: country versus industry effects Review of Finance, 16(3):755--798.
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Affiliated author
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Publication year2012
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JournalReview of Finance
This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990 to 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 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.