Extreme negative coexceedances in South Eastern European stock markets
Dragan Tevdovski ()
CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
The aim of this paper is to analyze the financial integration of the South Eastern Europe (SEE) stock markets. We use a multinomial logistic regression to analyze how persistence, asset class and volatility effects are related with negative coexceedances in SEE markets. We find evidence in favor of the continuation hypothesis in SEE stock markets. However, the factors associated with the coexceedances differ between the EU member countries from SEE and EU accession countries from SEE stock markets. The EU member countries are more dependent from the signals from major EU economies, while the accession countries are mainly influenced by the signals from the region.
Keywords: financial market integration; co-movement; stock markets; emerging markets; South Eastern Europe (search for similar items in EconPapers)
JEL-codes: C25 F36 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2014-18
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