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dc.contributor.authorApergis, Nicholas
dc.contributor.authorChristou, Christina
dc.contributor.authorMiller, Stephen
dc.date.accessioned2019-01-28T18:48:08Z
dc.date.available2019-01-28T18:48:08Z
dc.date.issued2014-05-22
dc.identifier.citationApergis, N., Christou, C. and Miller, S.M., (2014). ‘Country and industry convergence of equity markets: International evidence from club convergence and clustering’. The North American Journal of Economics and Finance, 29, pp.36-58. DOI: 10.1016/j.najef.2014.05.002en_US
dc.identifier.urihttp://hdl.handle.net/10545/623419
dc.description.abstractThis 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.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S1062940814000539en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectInternational equity markets convergenceen_US
dc.subjectIndustry effectsen_US
dc.subjectPanel convergence methodologyen_US
dc.titleCountry and industry convergence of equity markets: International evidence from club convergence and clustering.en_US
dc.typeArticleen_US
dc.contributor.departmentUniversity of Piraeusen_US
dc.contributor.departmentUniversity of Piraeusen_US
dc.contributor.departmentUniversity of Nevada Las Vegasen_US
dc.identifier.journalThe North American Journal of Economics and Financeen_US
dcterms.dateAccepted2014-05-13


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