Template-type: ReDIF-Paper 1.0
Author-Name: Charlotte Christiansen
Author-Name-First: Charlotte
Author-Name-Last: Christiansen
Author-Person: pch215
Author-Name: Angelo Ranaldo
Author-Name-First: Angelo
Author-Name-Last: Ranaldo
Author-Person: pra161
Title: Extreme Coexceedances in New EU Member States' Stock Markets
Abstract: We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance variables. We find that the effects differ (a) between negative and positive coexceedance variables (b) between old and new EU member states, and (c) before and after the EU enlargement in 2004 suggesting a closer connection of new EU stock markets to those in Western Europe.
Length: 37 pages
Creation-Date: 2008
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2008/working_paper_2008_10
File-Format: text/html
Number: 2008-10
Classification-JEL: C25, F36, G15
Keywords: Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock Markets
Handle: RePEc:snb:snbwpa:2008-10