Gomes, Pedro and Taamouti, A. (2016) In search of the determinants of European asset market comovements. International Review of Economics & Finance 44 , pp. 103-117. ISSN 1059-0560.
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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 percent of the variation of the covariances between European stocks and 25 to 35 percent of the covariances between European bonds. The information improves the portfolio performance compared to an equally weighted portfolio
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Stock and bond comovements, affine general equilibrium models, Eurozone crisis, Google Trends, portfolio weights modeling |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Pedro Gomes |
| Date Deposited: | 12 Oct 2017 09:28 |
| Last Modified: | 02 Aug 2023 17:36 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/20028 |
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