Country and industry convergence of equity markets: International evidence from club convergence and clustering.
|Authors||Apergis, Nicholas, Christou, Christina and Miller, Stephen|
This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates (e.g., stock returns) our empirical results suggest that the equity markets of 37 of the 42 counties in our sample do form a unified convergence club. The empirical findings, however, also show more numerous stock-price convergence clubs in certain industries. That is, country factors play a more important role in explaining the actual convergence in real stock prices than industry factors. Conversely, the volatility of stock prices exhibits much more evidence of convergence than stock prices. These findings should assist portfolio managers in the design and implementation of appropriate portfolio management strategies. Regulatory authorities also can benefit in the design of financial regulation.
|Keywords||International equity markets convergence; Industry effects; Panel convergence methodology|
|Journal||The North American journal of Economics and Finance|
|Web address (URL)||http://hdl.handle.net/10545/623419|
|Publication dates||22 May 2014|
|Publication process dates|
|Deposited||28 Jan 2019, 18:48|
|Accepted||13 May 2014|
|Contributors||University of Piraeus, University of Piraeus and University of Nevada Las Vegas|
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