Country and Sector Effects in Asia Pacific Markets
ISBN: 978-0-76231-258-0, eISBN: 978-1-84950-377-8
Publication date: 23 December 2005
Abstract
This paper focuses on the impact of country and sector effects in Asia Pacific equity market returns. Our study concludes that Asia Pacific market returns are mainly driven by country effects. Accordingly, country diversification is the most useful tool for managing portfolio risk. Recent evidence from developed markets indicates that country effect is no longer dominant and that sector exposure is of increasing significance in managing portfolio risk. We observed the same phenomenon; the difference is that it happened after the crisis period, not during the period as observed in the previous study.
Citation
Chen, J., Zhang, Y. and Marshall, B.R. (2005), "Country and Sector Effects in Asia Pacific Markets", Fetherston, T.A. and Batten, J.A. (Ed.) Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century (Contemporary Studies in Economic and Financial Analysis, Vol. 86), Emerald Group Publishing Limited, Leeds, pp. 179-197. https://doi.org/10.1016/S1569-3759(05)86009-7
Publisher
:Emerald Group Publishing Limited
Copyright © 2005, Emerald Group Publishing Limited