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@article{ Baele2010,
 title = {The determinants of increasing equity market comovement: economic or financial integration?},
 author = {Baele, Lieven and Soriano, Pilar},
 journal = {Review of World Economics},
 number = {3},
 pages = {573-589},
 volume = {146},
 year = {2010},
 doi = {https://doi.org/10.1007/s10290-010-0060-z},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-251682},
 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.},
}