Extreme Returns in the European financial crisis
Andreas Chouliaras and
European Financial Management, 2017, vol. 23, issue 4, 728-760
We examine the transmission of financial shocks among the euroâ€ periphery (Portugal, Ireland, Italy, Greece, Spain), the euroâ€ core (Germany, France, the Netherlands, Finland, Belgium), and the major European Union (but not euro) countries (Sweden, the United Kingdom, Poland, the Czech Republic, Denmark). Using extreme returns on daily stock market data from 2004 until 2013, we find transmission effects for the tails of the returns distributions for the preâ€ crisis, US crisis and euro crisis periods from the euroâ€ periphery to the nonâ€ euro and euroâ€ core groups. During the crises, the shocks transmitted were more substantial, indicating significantly higher losses on extreme return days.
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Working Paper: Extreme Returns in the European Financial Crisis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760
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