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The role of country and industry factors during volatile times

2013-10Artigo científico Acesso restrito
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datacite.subject.fosCiências Sociais::Economia e Gestão
datacite.subject.sdg03:Saúde de Qualidade
datacite.subject.sdg07:Energias Renováveis e Acessíveis
datacite.subject.sdg11:Cidades e Comunidades Sustentáveis
dc.contributor.authorMarcelo, José Luis Miralles
dc.contributor.authorQuirós, José Luis Miralles
dc.contributor.authorMartins, José
dc.date.accessioned2026-03-06T14:55:42Z
dc.date.available2026-03-06T14:55:42Z
dc.date.issued2013-10
dc.description.abstractGlobal stock market investment has highlighted the debate about whether country effects are typically more relevant than sector/industry effects in international stock returns. This paper studies the roles of country and industry effect on several major European financial markets. We find clear evidence that diversification over industries yields fundamental relevance for obtaining more efficient portfolios, and that ignoring the industrial mix leads to an important loss of diversification benefits. In addition we examine the behavior of country and industry effects during high (low) volatility periods. Alluring investors to diversify across industries requires a country to industry effect ratio to be substantially lower during high than low volatility periods. The fact that countries tend to move together during volatile periods posits that industry diversification may provide relatively more protection in crisis. For the entire time span we find that industries provide better protection in times of high volatility relative to countries. However, countries do perform better in absolute terms. Finally, we conclude that investors seeking global representation in their investment portfolios should continue to consider diversifying broadly across both countries and industries. Our findings have important implications for international portfolio diversification.eng
dc.identifier.citationJosé Luis Miralles Marcelo, José Luis Miralles Quirós, José Luís Martins, The role of country and industry factors during volatile times, Journal of International Financial Markets, Institutions and Money, Volume 26, 2013, Pages 273-290, ISSN 1042-4431, https://doi.org/10.1016/j.intfin.2013.06.005
dc.identifier.doi10.1016/j.intfin.2013.06.005
dc.identifier.issn1042-4431
dc.identifier.urihttp://hdl.handle.net/10400.8/15801
dc.language.isoeng
dc.peerreviewedyes
dc.publisherElsevier
dc.relation.hasversionhttps://www.sciencedirect.com/science/article/pii/S1042443113000425?via%3Dihub
dc.relation.ispartofJournal of International Financial Markets, Institutions and Money
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectPortfolio diversification
dc.subjectIndustry factors
dc.subjectCountry factors
dc.titleThe role of country and industry factors during volatile timeseng
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage290
oaire.citation.startPage273
oaire.citation.titleJournal of International Financial Markets, Institutions and Money
oaire.citation.volume26
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.familyNameMartins
person.givenNameJosé
person.identifier.ciencia-idFA1B-6241-A508
person.identifier.orcid0000-0003-0524-420X
relation.isAuthorOfPublicationee7ebb36-8413-4cb4-93d9-6fb158c0d605
relation.isAuthorOfPublication.latestForDiscoveryee7ebb36-8413-4cb4-93d9-6fb158c0d605

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