Extreme Coexceedances in New EU Member States' Stock Markets

Charlotte Christiansen and Angelo Ranaldo

No 2008-10, Working Papers from Swiss National Bank

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. 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.

Keywords: Financial market integration; Comovement; Emerging markets; EU enlargement; EU Member States; Extreme returns; New EU Member States; Stock Markets (search for similar items in EconPapers)
JEL-codes: C25 F36 G15 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.snb.ch/en/publications/research/workin ... orking_paper_2008_10 (text/html)

Related works:
Journal Article: Extreme coexceedances in new EU member states' stock markets (2009)
Working Paper: Extreme Coexceedances in New EU Member States’ Stock Markets (2007)
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:snb:snbwpa:2008-10

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi (enzo.rossi@snb.ch).