Details

Autor(en) / Beteiligte

• Gomes, Pedro
• Taamouti, Abderrahim

Titel

In search of the determinants of European asset market comovements

Ist Teil von

• International review of economics & finance, 2016-07, Vol.44, p.103-117

Ort / Verlag

Greenwich: Elsevier Inc

Erscheinungsjahr

2016

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• 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. •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).