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

L. Baele, P. Soriano

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)573-589
JournalReview of World Economics
Volume146
Issue number3
DOIs
Publication statusPublished - 2010

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