Abad, Pilar; Chuliá, Helena; Gómez-Puig, Marta - In: Journal of Banking & Finance 34 (2010) 12, pp. 2851-2860
In this study we adopt the CAPM-based model of Bekaert and Harvey (1995) to compare the differences in the relative importance of two sources of systemic risk (world and Eurozone) on Government bond returns, in two groups of countries in EU-15. Results show that euro markets are less vulnerable...