{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:19:55Z","timestamp":1761016795991},"reference-count":22,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2009,4,6]],"date-time":"2009-04-06T00:00:00Z","timestamp":1238976000000},"content-version":"unspecified","delay-in-days":1497,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Financ. Quant. Anal."],"published-print":{"date-parts":[[2005,3]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>This paper uses a volatility decomposition method to study the time-series behavior of equity volatility at the world, country, and local industry levels. Between 1974 and 2001, there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.<\/jats:p>","DOI":"10.1017\/s0022109000001794","type":"journal-article","created":{"date-parts":[[2009,4,17]],"date-time":"2009-04-17T12:40:43Z","timestamp":1239972043000},"page":"195-222","source":"Crossref","is-referenced-by-count":73,"title":["Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets"],"prefix":"10.1017","volume":"40","author":[{"given":"Miguel A.","family":"Ferreira","sequence":"first","affiliation":[]},{"given":"Paulo M.","family":"Gama","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2009,4,6]]},"reference":[{"key":"S0022109000001794_ref021","doi-asserted-by":"publisher","DOI":"10.3386\/w7021"},{"key":"S0022109000001794_ref017","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb03977.x"},{"key":"S0022109000001794_ref015","doi-asserted-by":"publisher","DOI":"10.1257\/jel.37.2.571"},{"key":"S0022109000001794_ref010","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb03747.x"},{"key":"S0022109000001794_ref009","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00041-5"},{"key":"S0022109000001794_ref008","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(76)90005-2"},{"key":"S0022109000001794_ref006","doi-asserted-by":"publisher","DOI":"10.3386\/w9344"},{"key":"S0022109000001794_ref004","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00318"},{"key":"S0022109000001794_ref001","volume-title":"The New Economy and Global Stock Returns","author":"Brooks","year":"2000"},{"key":"S0022109000001794_ref005","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v56.n5.2389"},{"key":"S0022109000001794_ref007","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.301963","volume-title":"An Evaluation of International Asset Pricing Models","author":"Dahlquist","year":"2002"},{"key":"S0022109000001794_ref013","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00023-8"},{"key":"S0022109000001794_ref022","doi-asserted-by":"publisher","DOI":"10.2307\/2998543"},{"key":"S0022109000001794_ref020","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v30.n4.48"},{"key":"S0022109000001794_ref002","volume-title":"International Diversification Strategies","author":"Brooks","year":"2002"},{"key":"S0022109000001794_ref019","first-page":"65","article-title":"Stock Market Volatility: Ten Years after the Crash","volume":"1","author":"Schwert","year":"1998","journal-title":"Brookings-Wharton Papers on Financial Services"},{"key":"S0022109000001794_ref003","volume-title":"The Rise in Comovement across National Stock Markets: Market Integration or IT Bubble?","author":"Brooks","year":"2002"},{"key":"S0022109000001794_ref016","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v44.n5.19"},{"key":"S0022109000001794_ref011","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(94)90028-0"},{"key":"S0022109000001794_ref018","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02647.x"},{"key":"S0022109000001794_ref012","doi-asserted-by":"publisher","DOI":"10.17578\/1-2-3"},{"key":"S0022109000001794_ref014","volume-title":"Are Financial Assets Priced Locally or Globally?","author":"Karolyi","year":"2001"}],"container-title":["Journal of Financial and Quantitative Analysis"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0022109000001794","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,3]],"date-time":"2019-05-03T21:13:07Z","timestamp":1556917987000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0022109000001794\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2005,3]]},"references-count":22,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2005,3]]}},"alternative-id":["S0022109000001794"],"URL":"https:\/\/doi.org\/10.1017\/s0022109000001794","relation":{},"ISSN":["0022-1090","1756-6916"],"issn-type":[{"value":"0022-1090","type":"print"},{"value":"1756-6916","type":"electronic"}],"subject":[],"published":{"date-parts":[[2005,3]]}}}