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

Baele, Lieven; Soriano, Pilar

[journal article]

dc.contributor.author	Baele, Lieven	de
dc.contributor.author	Soriano, Pilar	de
dc.date.accessioned	2011-05-25T02:51:00Z	de
dc.date.accessioned	2012-08-29T23:08:10Z
dc.date.available	2012-08-29T23:08:10Z
dc.date.issued	2010	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/25168
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Economic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37
dc.title	The determinants of increasing equity market comovement: economic or financial integration?	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Review of World Economics	de
dc.source.volume	146	de
dc.publisher.country	DEU
dc.source.issue	3	de
dc.subject.classoz	Political Economy	en
dc.subject.classoz	Volkswirtschaftslehre	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-251682	de
dc.date.modified	2011-05-25T14:20:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	573-589
internal.identifier.classoz	1090300
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1007/s10290-010-0060-z	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftslehre (allgemein)
Political Economy (general)

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