The Sources of Country and Industry Variations in ASEAN Stock Returns

Hooy, Chee-Wooi and Lee, Meng-Horng and Chong, Terence Tai Leung (2017): The Sources of Country and Industry Variations in ASEAN Stock Returns. Forthcoming in: Macroeconomics and Finance in Emerging Market Economies

Abstract

This paper examines the possible determinants for the sources of variations in ASEAN stock returns across financial crises. Using a comprehensive data of 4043 firms from six ASEAN countries and 40 industries, we find that lagged country return and concentration are among the determinants that explain the country factors in the region, while size proved to be the determinant of industry factors for both tradable and non-tradable industries. In general, a higher previous return and lower industrial concentration would increase the country factor. We documented the loss of explanatory power of these determinants in the presence of crisis effects.

• Item Type: MPRA Paper
• Language: English
• Keywords: International diversification; Country effects; Industry effects; Determinants; ASEAN
• Subjects: F - International Economics > F2 - International Factor Movements and International Business > F21 - International Investment ; Long-Term Capital Movements; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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