{"id":"https://openalex.org/W789951203","doi":null,"title":"Structural versus temporary factors in country and industry risk","display_name":"Structural versus temporary factors in country and industry risk","publication_year":2006,"publication_date":"2006-01-01","ids":{"openalex":"https://openalex.org/W789951203","mag":"789951203"},"language":"en","primary_location":{"id":"pmh:oai:archive.ugent.be:671829","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/1854/LU-671829","pdf_url":null,"source":{"id":"https://openalex.org/S4306400478","display_name":"Ghent University Academic Bibliography (Ghent University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I32597200","host_organization_name":"Ghent University","host_organization_lineage":["https://openalex.org/I32597200"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN: N/A","raw_type":"info:eu-repo/semantics/report"},"volume":null,"type":"report","is_traditional":false,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5021633424","display_name":"Lieven Baele","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lieven Baele","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5083207712","display_name":"Koen Inghelbrecht","orcid":"https://orcid.org/0000-0002-6192-8625","observed_orcids":["https://orcid.org/0000-0002-6192-8625"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Koen Inghelbrecht","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-6192-8625","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.986299991607666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.986299991607666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.006300000008195639,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0044999998062849045,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/geographic-diversification","display_name":"geographic diversification","score":0.8149999976158142},{"id":"https://openalex.org/keywords/industrial-diversification","display_name":"industrial diversification","score":0.9900000095367432},{"id":"https://openalex.org/keywords/country-risk","display_name":"country risk","score":0.7670000195503235},{"id":"https://openalex.org/keywords/industry-specific-risk","display_name":"industry-specific risk","score":0.8560000061988831},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.7210000157356262},{"id":"https://openalex.org/keywords/time-varying-beta","display_name":"time-varying beta","score":0.8320000171661377},{"id":"https://openalex.org/keywords/diversification-benefits","display_name":"diversification benefits","score":0.7820000052452087},{"id":"https://openalex.org/keywords/globalization","display_name":"globalization","score":0.8320000171661377},{"id":"https://openalex.org/keywords/regional-integration","display_name":"regional integration","score":0.9829999804496765},{"id":"https://openalex.org/keywords/stock-market-correlation","display_name":"stock market correlation","score":0.39500001072883606}],"concepts":[{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.8454955816268921},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6078586578369141},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5656560659408569},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.5477877259254456},{"id":"https://openalex.org/C2119116","wikidata":"https://www.wikidata.org/wiki/Q7181","display_name":"Globalization","level":2,"score":0.4519127309322357},{"id":"https://openalex.org/C80212096","wikidata":"https://www.wikidata.org/wiki/Q1975416","display_name":"Systematic risk","level":2,"score":0.4511810541152954},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4119030237197876},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37734079360961914},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3035222887992859},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.1337319016456604},{"id":"https://openalex.org/C34447519","wikidata":"https://www.wikidata.org/wiki/Q179522","display_name":"Market economy","level":1,"score":0.08300387859344482},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:archive.ugent.be:671829","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/1854/LU-671829","pdf_url":null,"source":{"id":"https://openalex.org/S4306400478","display_name":"Ghent University Academic Bibliography (Ghent University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I32597200","host_organization_name":"Ghent University","host_organization_lineage":["https://openalex.org/I32597200"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN: N/A","raw_type":"info:eu-repo/semantics/report"},{"id":"mag:789951203","doi":null,"is_oa":false,"landing_page_url":"https://biblio.ugent.be/publication/671829","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.6452000141143799,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1547422902","https://openalex.org/W3121695171","https://openalex.org/W7097760985","https://openalex.org/W1535871795","https://openalex.org/W3125335105","https://openalex.org/W7010750977","https://openalex.org/W2045817470","https://openalex.org/W2120943730","https://openalex.org/W2119493286","https://openalex.org/W1996163751"],"abstract_inverted_index":{"This":[0],"paper":[1],"analyzes":[2],"the":[3,8,17,67,78,106,130,162,169,184,193,202,208,211,220],"dynamics":[4],"and":[5,13,38,54,63,69,83,91,96,142,166,188],"determinants":[6],"of":[7,11,81,105,140,145,149,164,172,210],"relative":[9,79],"benefits":[10,80],"geographical":[12,82,173,187],"industry":[14,84,118,141,175,189,205],"diversification":[15,85,176,190,195],"over":[16,174,183],"last":[18,185],"30":[19],"years.":[20],"First,":[21],"we":[22,49,76,158],"develop":[23],"a":[24,36,39,73,100],"new":[25],"structural":[26,61,107],"regimeswitching":[27],"volatility":[28],"spillover":[29],"model":[30],"to":[31,45,57,136,147,219],"decompose":[32],"total":[33,150],"risk":[34,144,206],"into":[35,128],"systematic":[37],"country":[40,110],"(industry)":[41],"specific":[42],"component.":[43],"Contrary":[44],"most":[46],"other":[47],"studies,":[48],"explicitly":[50],"allow":[51],"market":[52],"betas":[53,111,119,134],"asset-specific":[55,89,151],"risks":[56],"vary":[58],"with":[59],"both":[60],"changes":[62],"temporary":[64,124],"fluctuations":[65],"in":[66,115,133,138,204],"economic":[68],"financial":[70],"environment.":[71],"In":[72,181],"second":[74],"step,":[75],"investigate":[77],"by":[86,123],"comparing":[87],"average":[88],"volatilities":[90],"model-implied":[92],"correlations":[93],"across":[94],"countries":[95],"industries.":[97],"We":[98],"find":[99,159],"large":[101],"positive":[102],"(negative)":[103],"effect":[104],"factors":[108],"on":[109],"(country-specific":[112],"volatility),":[113],"especially":[114],"Europe,":[116],"while":[117],"are":[120],"mainly":[121],"determined":[122],"factors.":[125],"Not":[126],"taking":[127],"account":[129],"time":[131],"variation":[132],"leads":[135],"biases":[137],"measures":[139],"country-specific":[143],"up":[146],"one-third":[148],"volatility.":[152],"After":[153],"correcting":[154],"for":[155],"this":[156],"bias,":[157],"that":[160,201],"under":[161],"influence":[163],"globalization":[165],"regional":[167],"integration,":[168],"traditional":[170],"dominance":[171],"has":[177],"been":[178],"substantially":[179],"reduced.":[180],"fact,":[182],"years,":[186],"roughly":[191],"yield":[192],"same":[194],"benefits.":[196],"Finally,":[197],"our":[198],"results":[199],"indicate":[200],"surge":[203],"at":[207],"end":[209],"1990s":[212],"was":[213],"partly":[214],"(but":[215],"not":[216],"fully)":[217],"related":[218],"TMT":[221],"bubble.":[222]},"counts_by_year":[{"year":2017,"cited_by_count":1}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
