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The determinants of increasing equity market comovement: economic or financial integration?
[Zeitschriftenartikel]
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... mehr
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.... weniger
Klassifikation
Volkswirtschaftslehre
Freie Schlagwörter
Economic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37
Sprache Dokument
Englisch
Publikationsjahr
2010
Seitenangabe
S. 573-589
Zeitschriftentitel
Review of World Economics, 146 (2010) 3
DOI
https://doi.org/10.1007/s10290-010-0060-z
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)