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

53 Pages Posted: 21 Feb 2014 Last revised: 1 Feb 2016

See all articles by Mary Pieterse-Bloem

Mary Pieterse-Bloem

Erasmus Research Institute of Management (ERIM)

Zhaowen Qian

Erasmus University Rotterdam (EUR) - Department of Business Economics

Willem F. C. Verschoor

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Remco C. J. Zwinkels

Vrije Universiteit Amsterdam - School of Business and Economics; Tinbergen Institute

Date Written: February 20, 2014

Abstract

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.

Keywords: market integration, corporate bond markets, factor decomposition, Sovereign debt crisis

JEL Classification: G12, G15, F36

Suggested Citation

Pieterse-Bloem, Mary and Qian, Zhaowen and Verschoor, Willem F. C. and Zwinkels, Remco C.J., Time-Varying Importance of Country and Industry Factors in European Corporate Bonds (February 20, 2014). Journal of Empirical Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2398875 or http://dx.doi.org/10.2139/ssrn.2398875

Mary Pieterse-Bloem

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Zhaowen Qian (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Business Economics ( email )

Netherlands

Willem F. C. Verschoor

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Remco C.J. Zwinkels

Vrije Universiteit Amsterdam - School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

HOME PAGE: http://https://research.vu.nl/en/persons/remco-zwinkels

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

HOME PAGE: http://tinbergen.nl/person/1574/remco-zwinkels

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