The Importance of Industry and Country Effects in the EMU Equity Markets
研究1975-2001年欧洲货币联盟股票市场，发现国家效应主导行业效应，但1990年代行业效应增强，欧元后两者相当，且名义趋同降低了国家间利率差异。
Abstract Most empirical studies find that country effects are larger than industry effects in stock returns, although industry effects have gained in importance recently. Our results support the dominance of country effects relative to industry and common effects in the EMU equity markets in the 1975–2001 period. However, there is an increasing importance of industry effect relative to country effect in the 1990s. In fact, industry effects is similar in magnitude to country effect in the post‐euro period. The evolution of the ratio of country to industry effect is explained by the decrease in the cross‐sectional variance of interest rate movements across EMU countries. Thus, there is evidence that nominal convergence has reduced the differences between national equity markets.