کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083308 | 1477798 | 2016 | 15 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: In search of the determinants of European asset market comovements In search of the determinants of European asset market comovements](/preview/png/5083308.png)
- We study the comovement of stock and sovereign bond markets of the Euro Area.
- We use a DDC model to measure the covariances between returns.
- We use a new approach to measure risk factors based on Google search data.
- These correlate with economic indicators and are available at a weekly frequency.
- The factors explain 55% (35%) of the covariances between stocks (sovereign bonds).
We show, in a broad class of affine general equilibrium models with long-run risk, that the covariances between asset returns are linear functions of risk factors. We use a dynamic conditional correlation model to measure the covariances of stock and sovereign bond markets in the Euro Area. We use a new approach to measure risk factors based on Google search data. The factors explain 50 to 60% of the variation of the covariances between European stocks and 25 to 35% of the covariances between European bonds. The information improves the portfolio performance compared to an equally weighted portfolio.
Journal: International Review of Economics & Finance - Volume 44, July 2016, Pages 103-117