{'fraction_non_alphanumeric': 0.03116883116883117, 'fraction_numerical': 0.01038961038961039, 'mean_word_length': 5.823008849557522, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
The Relative Importance of Global, Country and Sector Risks

We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic), country-specific (diversifiable through global country allocation) and sector-specific (diversifiable through domestic sector allocation) risk measures. Our investigation shows that diversification benefits of sector-based allocation have increased as a result of the Asian meltdown. Nevertheless, the importance of country factors persists. Finally, we find that sector-specific effects are as important as country effects and increase slightly over the period of study.