The Dark Side of Global Integration: Increasing Tail Dependence

Antonio Cosma, Antonio.cosma@uni.lu, Michel Beine and Robert Vermeulen
Additional contact information
Antonio.cosma@uni.lu: Luxembourg School of Finance, University of Luxembourg
Authors registered in the RePEc Author Service: Antonio Cosma (antonio.cosma@unibg.it)

LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg

Abstract: We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the return distribution. First, we construct annual coexceedance probabilities for both lower and upper tail return quantiles using daily data from 1974-2006. Next, we explain these probabilities in a panel gravity model framework. Results show that macroeconomic variables asymmetrically impact stock market comovement across the return distribution. Financial liberalization significantly increases left tail comovement, whereas trade integration significantly increases comovement across all quantiles. "Keywords: stock market comovement; trade integration; financial integration" "Classification-JEL: F15 ; F36 ; F41 ; G15"

Date: 2009
New Economics Papers: this item is included in nep-int and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.lsf.lu/eng/content/download/1093/5453/file/09-05.pdf (application/pdf)

Related works:
Journal Article: The dark side of global integration: Increasing tail dependence (2010)
Working Paper: The Dark Side of Global Integration: Increasing Tail Dependence (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crf:wpaper:09-05

Access Statistics for this paper

More papers in LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg Contact information at EDIRC.
Bibliographic data for series maintained by Martine Zenner (martine.zenner@uni.lu this e-mail address is bad, please contact repec@repec.org).