The relative importance of country and industry factors for international diversification and evidence from financial crisis in Asia

Lely, Grace. (2000). The relative importance of country and industry factors for international diversification and evidence from financial crisis in Asia Honours Thesis, School of Business, University of Queensland.

       
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Author Lely, Grace.
Thesis Title The relative importance of country and industry factors for international diversification and evidence from financial crisis in Asia
School, Centre or Institute School of Business
Institution University of Queensland
Publication date 2000
Thesis type Honours Thesis
Total pages 78
Language eng
Subjects 1503 Business and Management
Formatted abstract The notion that securities returns and volatilities are affected to different extent by country-specific and industry-specific sources of return variations is an important issue in international diversification. As such, this thesis focuses on two issues. First, on the market return level this thesis examines whether country or industry factors are more important in determining the cross-sectional volatility of market returns. Second, on the industry return level this thesis examines whether industry factors exert similar influence across different types of industries.

The results of the statistical analysis show that differences in the cross-sectional volatility of market returns are attributable to country factors. The relative importance of country factors do not remain constant over time. A remarkable increase in country effect variance is evidenced across crisis and non-crisis countries during the Asian crisis period in 1997. Evidence also shows that the Asian crisis increases the importance of country factors relative to industry factors in explaining the differences in the cross-sectional volatility of market returns. Analysis of traded versus non-traded goods industries show that industry factors explain a greater variation of traded goods industry returns.

 
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Created: Tue, 26 Oct 2010, 16:44:46 EST by Muhammad Noman Ali on behalf of The University of Queensland Library