This article presents an analysis of the relative importance of region versus
industry effects in stock returns, as opposed to the extensively analyzed
country versus industry effects. The sample includes the period after the
bursting of the technology bubble. Moreover, volatility transmission patterns
are analyzed within an industry across regions
to assess whether the same international links found in aggregate stock market
indices exist at the industry level. The results confirm the dominance of region
effects over industry effects, except during the bubble period. The results of
the volatility transmission analysis suggest that the importance of spillovers
depends on the industry.