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Extreme coexceedances in new EU member states' stock markets


Ranaldo, Angelo; Christiansen, Charlotte (2009). Extreme coexceedances in new EU member states' stock markets. Journal of Banking and Finance, 33(6):1048-1057.

Abstract

We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. A similar analysis is performed for the old EU countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance variables. We find that the effects differ (a) between negative and positive coexceedance variables (b) between old and new EU member states, and (c) before and after the EU enlargement in 2004, suggesting a closer connection of new EU stock markets to those in Western Europe.

Abstract

We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. A similar analysis is performed for the old EU countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance variables. We find that the effects differ (a) between negative and positive coexceedance variables (b) between old and new EU member states, and (c) before and after the EU enlargement in 2004, suggesting a closer connection of new EU stock markets to those in Western Europe.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:June 2009
Deposited On:22 Aug 2023 12:09
Last Modified:29 Apr 2024 01:39
Publisher:Elsevier
ISSN:0378-4266
OA Status:Green
Publisher DOI:https://doi.org/10.1016/j.jbankfin.2008.10.014
Other Identification Number:merlin-id:5926
  • Content: Accepted Version
  • Language: English