6533b7d4fe1ef96bd1261fb0
RESEARCH PRODUCT
The determinants of increasing equity market comovement: economic or financial integration?
Pilar SorianoLieven Baelesubject
Economic integrationMacroeconomicsEconomicsFinancial integrationEquity (finance)WirtschaftEconomics Econometrics and Finance(all)Monetary economicsPolitical EconomyEconomic integration; Financial integration; Cash-flow news; Discount-rate news; G11; G12; G15; C32; F37Operating cash flowVolkswirtschaftslehreEuropean integrationddc:330EconomicsCash flowPrice/cash flow ratioCash managementGeneral Economics Econometrics and Financehealth care economics and organizationsdescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2010-05-25 |