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%T The determinants of increasing equity market comovement: economic or financial integration?
%A Baele, Lieven
%A Soriano, Pilar
%J Review of World Economics
%N 3
%P 573-589
%V 146
%D 2010
%K Economic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37
%= 2011-05-25T14:20:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-251682
%X 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.
%C DEU
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info