Extreme Coexceedances in New EU Member States’ Stock Markets

Charlotte Christiansen and Angelo Ranaldo

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We analyze the financial integration of the new EU member states’ stock markets using the coexceedance variable that counts the number of large negative returns on a given day across the countries. We use a multinomial logit model to investigate which factors influence the coexceedance variable, separately for geographical effects, asset class effects, volatility effects, and persistence effects. The effects differ for negative (large negative returns) and positive (large positive returns) coexceedance variables. The coexceedance variables for the old and the new EU countries are influenced differently. The effects on the new EU coexceedance variables change after the EU enlargement in 2004.

Keywords: Emerging markets; EU enlargement; EU Member States; Extreme returns; Financial integration; New EU Member States; Stock Markets (search for similar items in EconPapers)
JEL-codes: C25 F36 G15 (search for similar items in EconPapers)
Pages: 29
Date: 2007-11-07
New Economics Papers: this item is included in nep-cfn, nep-eec and nep-tra
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Citations: View citations in EconPapers (6)

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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 (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2007-34

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