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The determinants of increasing equity market comovement: economic or financial integration?
[journal article]
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 inc... view more
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.... view less
Classification
Political Economy
Free Keywords
Economic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37
Document language
English
Publication Year
2010
Page/Pages
p. 573-589
Journal
Review of World Economics, 146 (2010) 3
DOI
https://doi.org/10.1007/s10290-010-0060-z
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)