 European stock market dependencies when price changes are unusually largeApplied Financial Economics, 2004, vol. 14, issue 3, 165-177 Abstract: This article studies dependencies between European stock markets when returns are unusually large 'extreme', using daily data on stock market indices for Germany, the UK, France, The Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an unusually large return in one market given an unusually large return in another and is estimated using an approach from multivariate extreme value theory. It finds the following. First, dependencies between markets in situations of unusually large returns have become closer over time. Second, they are generally higher for large negative returns than for large positive ones. Third, dependencies differ depending on the country pair considered. For example, stock markets in the Netherlands and France are more closely and those in the UK and Italy less closely linked to the German market. Fourth, overall dependencies are quite symmetric, in the sense that the conditional probability for an unusually large change given a large change in the other country is similar irrespective of which of the two countries the probability is conditioned on. Date: 2004 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:14:y:2004:i:3:p:165-177 Ordering information: This journal article can be ordered from DOI: 10.1080/0960310042000187360 Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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