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

Content Provider	Paperity
Author	Baele, Lieven Soriano, Pilar
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.
Starting Page	573
Ending Page	589
File Format	HTM / HTML
ISSN	16102878
DOI	10.1007/s10290-010-0060-z
Issue Number	3
Journal	Review of World Economics
Volume Number	146
e-ISSN	16102886
Language	English
Publisher	Springer Berlin Heidelberg
Publisher Date	2010-09-01
Access Restriction	Open
Subject Keyword	Discount-rate news C32 Cash-flow news G11 Economic integration G12 G15 Financial integration F37
Content Type	Text
Resource Type	Article
Subject	Economics, Econometrics and Finance

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