DOES INDUSTRIAL-STRUCTURE EXPLAIN THE BENEFITS OF INTERNATIONAL DIVERSIFICATION

被引：246

作者：

HESTON, SL ^{[1
]}

ROUWENHORST, KG ^{[1
]}

机构：

[1] YALE UNIV,SOM,NEW HAVEN,CT 06511

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1994年 / 36卷 / 01期

关键词：

EXCHANGE RATES; INTERNATIONAL EQUITY MARKETS; PORTFOLIO DIVERSIFICATION;

D O I：

10.1016/0304-405X(94)90028-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：3 / 27

页数：25