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

Baele,L.
; 
Soriano,P.
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.
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2010
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Tilburg University Research Output Collection
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Baele, L & Soriano, P 2010, 'The determinants of increasing equity market comovement : economic or financial integration?', Review of World Economics, vol. 146, no. 3, pp. 573-589. https://doi.org/10.1007/s10290-010-0060-z
URI
https://hdl.handle.net/20.500.14602/56456
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info:eu-repo/semantics/restrictedAccess
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