Journal article | Zeitschriftenartikel
The determinants of increasing equity market comovement: economic or financial integration?
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.
- Umfang
-
Seite(n): 573-589
- Sprache
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Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Review of World Economics, 146(3)
- Thema
-
Wirtschaft
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baele, Lieven
Soriano, Pilar
- Ereignis
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Veröffentlichung
- (wo)
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Deutschland
- (wann)
-
2010
- DOI
- URN
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urn:nbn:de:0168-ssoar-251682
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Baele, Lieven
- Soriano, Pilar
Entstanden
- 2010
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