dc.contributor.author
Abad, Pilar
dc.contributor.author
Chuliá Soler, Helena
dc.contributor.author
Gómez-Puig, Marta
dc.date.issued
2017-02-15T10:10:40Z
dc.date.issued
2017-02-15T10:10:40Z
dc.date.issued
2017-02-15T10:10:41Z
dc.identifier
https://hdl.handle.net/2445/106982
dc.description.abstract
In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, they are only partially integrated. For their part, the markets of the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors.
dc.format
application/pdf
dc.format
application/pdf
dc.publisher
Elsevier B.V.
dc.relation
Versió postprint del document publicat a: https://doi.org/10.1016/j.jbankfin.2009.10.009
dc.relation
Journal of Banking & Finance, 2010, vol. 34, num. 12, p. 2851-2860
dc.relation
https://doi.org/10.1016/j.jbankfin.2009.10.009
dc.rights
(c) Elsevier B.V., 2010
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Economia)
dc.subject
Unions monetàries
dc.subject
Borsa de valors
dc.subject
Mercat financer
dc.subject
Monetary unions
dc.subject
Stock-exchange
dc.subject
Financial market
dc.title
EMU and European government bond market integration
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/acceptedVersion
