DOES INDUSTRIAL-STRUCTURE EXPLAIN THE BENEFITS OF INTERNATIONAL DIVERSIFICATION

• 成果类型: Article
• 署名作者: HESTON, SL; ROUWENHORST, KG
• 署名单位: Yale University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)90028-0
• 发表日期: 1994
• 页码: 3-27
• 关键词: Exchange rates; International equity markets; Portfolio diversification

摘要

We examine the influence of industrial structure on the cross-sectional volatility and correlation structure of country index returns for 12 European countries between 1978 and 1992. We find that industrial structure explains very little of the cross-sectional difference in country return volatility, and that the low correlation between country indices is almost completely due to country-specific sources of return variation. Diversification across countries within an industry is a much more effective tool for risk reduction than industry diversification within a country.