TY - JOUR
T1 - Time-varying importance of country and industry factors in European corporate bonds
AU - Pieterse - Bloem, Mary
AU - Qian, Zhaowen
AU - Zwinkels, Remco
AU - Verschoor, Willem
PY - 2016/1/21
Y1 - 2016/1/21
N2 - In this paper we study financial integration in Europe by looking at the time-varying relative importance of country versus industry factors in the European corporate bond market. Using a unique dataset that is representative for the universe of actively quoted corporate bonds, we find that although unconditionally the country factor dominates the industry factor, there is substantial time variation and no trend towards full integration. Breaks in the variation correspond with several important events in the European financial market integration, such as the introduction of the Euro and the sovereign debt crisis.
AB - In this paper we study financial integration in Europe by looking at the time-varying relative importance of country versus industry factors in the European corporate bond market. Using a unique dataset that is representative for the universe of actively quoted corporate bonds, we find that although unconditionally the country factor dominates the industry factor, there is substantial time variation and no trend towards full integration. Breaks in the variation correspond with several important events in the European financial market integration, such as the introduction of the Euro and the sovereign debt crisis.
U2 - 10.1016/j.jempfin.2016.01.010
DO - 10.1016/j.jempfin.2016.01.010
M3 - Article
SN - 0927-5398
VL - 38
SP - 429
EP - 448
JO - Journal of Empirical Finance
JF - Journal of Empirical Finance
IS - A
ER -