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The determinants of increasing equity market comovement: economic or financial integration?

[Zeitschriftenartikel]

Baele, Lieven; Soriano, Pilar

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-251682

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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.
Klassifikation Volkswirtschaftslehre
Freie Schlagwörter Economic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37
Sprache Dokument Englisch
Publikationsjahr 2010
Seitenangabe S. 573-589
Zeitschriftentitel Review of World Economics, 146 (2010) 3
DOI http://dx.doi.org/10.1007/s10290-010-0060-z
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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