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Financial market activity under capital controls: Lessons from extreme events

Konstantinos Gkillas (Gillas) () and François Longin

Economics Letters, 2018, vol. 171, issue C, 10-13

Abstract: We investigate the contemporaneous relation between return and transaction volume in distribution tails under the restrictions on transactions due to the capital controls implemented on the Athens Stock Exchange in July 2015. We use bivariate extreme value theory to model the tail dependence structure. We show that restrictions on transactions have an impact on the activity of market participants.

Keywords: Capital controls; Extreme value theory; Return–volume dependence (search for similar items in EconPapers)
JEL-codes: C46 F38 G01 G32 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econlet.2018.07.004

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