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Time-Varying Importance of Country and Industry Factors in European Corporate Bonds

Mary Pieterse-Bloem, Zhaowen Qian, Willem F. C. Verschoor, Remco C. J. Zwinkels
2014 Social Science Research Network  

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In this paper we study the ...nancial 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 ...nd that although unconditionally the country factor dominates the industry factor, there is substantial time variation and no trend towards full integration. The variation corresponds with several important
more » ... nts in the European ...nancial market integration, such as the introduction of the Euro and the sovereign debt crisis. JEL-codes: G12, G15, F36
doi:10.2139/ssrn.2398875 fatcat:pfbokkmupbgqxkav752wh2e56m
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Mary Pieterse-Bloem, Zhaowen Qian, Willem F. C. Verschoor, Remco C. J. Zwinkels. "Time-Varying Importance of Country and Industry Factors in European Corporate Bonds." Social Science Research Network (2014)