Abstract
Should investors diversify across emerging stock markets or across industries to achieve improvements in their risk-return tradeoffs especially during financial crisis periods? We examine the issue using individual firm data from a selection of emerging markets and including the period of the 1997 Asian financial crisis. We find that country effects were the dominant force behind the low co-movements among emerging stock market returns. There is evidence of increased industry effects beginning at the time of the Asian financial crisis, but this may have been a temporary phenomenon associated with contagion effects during the crisis.
Original language | English |
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Pages (from-to) | 559-580 |
Number of pages | 22 |
Journal | Emerging Markets Review |
Volume | 13 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2012 |
Externally published | Yes |
Keywords
- 1997 financial crisis
- Cross-sectional variation
- Diversification
- Emerging equity markets
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Bai, Y., Green, C. J., & Leger, L. (2012). Industry and country factors in emerging market returns: Did the Asian crisis make a difference? Emerging Markets Review, 13(4), 559-580. https://doi.org/10.1016/j.ememar.2012.09.006