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

被引：0
|
作者：
Lieven Baele
Pilar Soriano
机构：
[1] CentER,Departament d’Economia Financera i Actuarial
[2] Netspar,undefined
[3] and Tilburg University,undefined
[4] Universitat de Valencia,undefined
来源：
Review of World Economics | 2010年 / 146卷
关键词：
Economic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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收藏
页码：573 / 589
页数：16
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