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Please use this identifier to cite or link to this item: http://purl.umn.edu/37160

Title: Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies
Authors: Taing, Siv
Worthington, Andrew
Keywords: Risk and return
volatility
autoregressive conditional heteroskedasticity
JEL Codes: C32
F36
G15
Issue Date: 2005-11
Abstract: This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCHM) models are used to consider the impact of returns in other European markets on the returns in each market across each sector. The results indicate that there are relatively few significant interrelationships between sectors in different markets, with most of these accounted for by the larger markets in France, Germany and Italy. The evidence also suggests the consumer discretionary, financial and materials sectors are relatively more interrelated than the consumer staples and industrials sectors. This has clear implications for portfolio diversification and asset pricing in the EU.
URI: http://purl.umn.edu/37160
Identifiers: Print ISSN 1514-0326
Online ISSN 1667-6726
Institution/Association: Journal of Applied Economics>Volume 8, Number 2, November 2005
Total Pages: 18
From Page: 371
To Page: 388
Collections:Volume 08, Number 2, November 2005

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