Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

In search of the determinants of European asset market comovements.

Gomes, P. and Taamouti, A. (2016) 'In search of the determinants of European asset market comovements.', International review of economics and finance., 44 . pp. 103-117.

Abstract

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
Download PDF
(629Kb)
Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1016/j.iref.2016.03.005
Publisher statement:© 2016 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Record Created:02 Mar 2016 10:50
Last Modified:19 Mar 2017 00:41

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Look up in GoogleScholar | Find in a UK Library