Extreme coexceedances in new EU member states' stock markets

Charlotte Christiansen and Angelo Ranaldo ()

Journal of Banking & Finance, 2009, vol. 33, issue 6, pages 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.

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)
Date: 2009

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6VCY ... 3318ccd87de57e746b00
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Extreme Coexceedances in New EU Member States’ Stock Markets (2007)
Working Paper: Extreme Coexceedances in New EU Member States' Stock Markets (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: http://EconPapers.repec.org/RePEc:eee:jbfina:v:33:y:2009:i:6:p:1048-1057

Access Statistics for this article

Journal of Banking & Finance is edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Series data maintained by Heidi Boesdal ().