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• W3130125733 startingPage "101316" @default.
• W3130125733 abstract "Much of the literature on the economic benefits of the European Union (EU) has focused on trade liberalization. From a portfolio management perspective, this paper employs a structural vector autoregressive model of the shift-share (SS) decomposition to demonstrate the effects of regional, country, industry, and national industry factors on stock returns. Based on post-EU data for 10 sectors and 19 countries, the relative importance of these factors driving Euro stock returns is found to be time-varying due to financial integration, the global financial crisis, the Euro debt crisis, and Brexit. We find: (1) the EU regional factor dominates the behavior of all EU and non-EU members stock returns; (2) the crises decrease both country and industry factors; (3) the crises have led to greater importance in regional factor characterizing country stock returns especially amongst countries which are more integrated with the EU; (4) national industry factor is more pertinent than the other factors and provides a portfolio’s risk reduction strategy; and (5) the regional factor dominantly explains UK stock returns variation thus generating concerns over Brexit." @default.
• W3130125733 created "2021-03-01" @default.
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• W3130125733 date "2021-03-01" @default.
• W3130125733 modified "2023-10-01" @default.
• W3130125733 title "United we stand divided we fall: The time-varying factors driving European Union stock returns" @default.
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• W3130125733 doi "https://doi.org/10.1016/j.intfin.2021.101316" @default.
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