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The remainder of this Torin1 paper is organized as follows. Section 2 presents the existing literature. Section 3 describes the data set and explains the methodology that we followed. Section 4 displays and discusses the empirical results. Finally, Section 5 contains a summary and some concluding remarks.
2. Literature review
The academic literature on co-movement among international equity markets is voluminous, however the correlations of sectors and their portfolio diversification implications have not been explored adequately. Significance of impact of industry factors on the stock prices is first explored by King (1966). Following his study, Lessard (1974) found only a minor contribution from sector effects to equity returns. Schwartz and Altman (1973) and Livingston (1977) studied the influence of industries on volatility of equity shares and attained significant results. Roll (1992) suggested bilateral symmetry each country\'s sectoral structure plays a major role in explaining stock price behavior.