The Sources of Country and Industry Variations in ASEAN Stock Returns

This paper examines the possible determinants for the sources of variation in ASEAN stock returns across financial crises. Using a comprehensive data of 4043 firms from six ASEAN countries and 40 industries, we find that lagged country return and concentration are among the determinants explaining the country factors in the region, while size proved to be the determinant of industry factors for both tradable and non-tradable industries. In general, a higher previous return and lower industrial concentration would increase the country factors. We documented the loss of explanatory power of these determinants in the presence of crisis effects