Another look at the role of the industrial structure of markets for international diversification strategies

• 成果类型: Article
• 署名作者: Griffin, JM; Karolyi, GA
• 署名单位: University System of Ohio; Ohio State University; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00041-5
• 发表日期: 1998
• 页码: 351-373
• 关键词: Diversification; RISK; international financial markets; industrial structure

摘要

This paper re-examines the extent to which gains from international diversification are due to differences in industrial structure across countries. Recent papers by Roll (1992), Journal of Finance 47, 3-42 and Heston and Rouwenhorst (1994), Journal of Financial Economics 36, 3-27 investigate this issue and find conflicting evidence. Using a new database, the Dow Jones World Stock Index, with coverage in 25 countries and over 66 industry classifications, we decompose comprehensively both country and industrial sources of variation. We confirm that little of the variation in country index returns can be explained by their industrial composition. We also uncover differences in the proportion of variation in industry index returns that is captured by country and industry factors and discuss the implications for global diversification strategies. (C) 1998 Elsevier Science S.A. All rights reserved. JEL classification: G11; G15.