The determinants of increasing equity market comovement: economic or financial integration?
Abstract: This paper investigates to what extent the substantial increase in exposures of local European equity market returns to global shocks is mainly due to a convergence in cash flows ("economic integration"), to a convergence in discount rates ("financial integration"), or to both. We find that this increased exposure is nearly entirely due to increasing discount-rate betas. This finding is robust to alternative ways of calculating discount-rate and cash-flow shocks
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Review of World Economics ; 146 (2010) 3 ; 573-589
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2010
- Creator
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Baele, Lieven
Soriano, Pilar
- DOI
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10.1007/s10290-010-0060-z
- URN
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urn:nbn:de:0168-ssoar-251682
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:43 PM CET
Data provider
This object is provided by:
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Associated
- Baele, Lieven
- Soriano, Pilar
Time of origin
- 2010
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