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1、CountryandIndustryConvergenceofEquityMarkets:InternationalEvidencefromClubConvergenceandClusteringNicholasApergisChairandProfessorDepartmentofBankingandFinancialManagement,UniversityofPiraeusGreeceChristinaChristouAssistantProfessorDepartmentofBankingandFinancia
2、lManagement,UniversityofPiraeusGreeceStephenM.Miller*ProfessorofEconomicsDepartmentofEconomicsUniversityofNevada,LasVegasU.S.A.December2010Abstract.ThisstudyemploysthepanelconvergencemethodologydevelopedbyPhillipsandSul(2007)toexploretheconvergencedynamicsofinte
3、rnationalequitymarkets.Theanalysisconsidersbothcountryandindustryeffects.Whiletraditionalportfoliomanagementstrategiesusuallyfollowatop-downprocedure,assumingthatcountry-leveleffectsdrivefinancialaggregates,e.g.stockreturns,ourempiricalresultssuggestthattheequit
4、ymarketsof35ofthe42countiesinoursampledoformaunifiedconvergenceclub.Theempiricalfindingsalsoshowmorenumerousstock-priceconvergenceclubsincertainindustries.Thatis,industryfactorsplayamoreimportantroleinexplainingtheactualdivergenceinstockpricesthandoesthestockmar
5、ketitself.Conversely,thevolatilityofstockpricesexhibitsmuchmoreevidenceofconvergencethanstockprices.Thesefindingsshouldassistportfoliomanagersalongwithregulatoryauthoritiesinthedesignandimplementationofappropriateportfoliomanagementstrategies.Keywords:equitymark
6、etsconvergence,industryeffects,internationalequitymarkets,panelconvergencemethodologyJELClassification:C32,C33*Correspondingauthor.CountryandIndustryConvergenceofEquityMarkets:InternationalEvidencefromtheClubConvergenceandClusteringProcedure1.IntroductionInrecen
7、tyears,researchershaveincreasedtheattentionpaidtotheconvergenceininternationalequitymarkets.Thisincreasedinterestintheconvergenceprocessaccompaniestheeliminationofrestrictionsonbankingandsecuritiestransactions,thereductionortheabolitionofcapitalrestrictions,theh
8、armonizationoflegalframeworksandaccountingsystemsforfinancialreporting,andtheencouragementofforeign(direct)investments.Thatis,recentchangesinternationalregulationshav
