Extreme Coexceedances in New EU Member States' Stock Markets

31 Pages Posted: 3 Mar 2008 Last revised: 8 Nov 2017

See all articles by Charlotte Christiansen

Charlotte Christiansen

Aarhus University - CREATES

Angelo Ranaldo

University of St. Gallen; Swiss Finance Institute

Date Written: June 27, 2008

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.

Keywords: Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets

JEL Classification: C25, F36, G15

Suggested Citation

Christiansen, Charlotte and Ranaldo, Angelo, Extreme Coexceedances in New EU Member States' Stock Markets (June 27, 2008). Available at SSRN: https://ssrn.com/abstract=1028247 or http://dx.doi.org/10.2139/ssrn.1028247

Charlotte Christiansen (Contact Author)

Aarhus University - CREATES ( email )

Fuglesangs Alle 4
Aarhus V, DK 8210
Denmark

Angelo Ranaldo

University of St. Gallen ( email )

Swiss Institute of Banking and Finance s/bf-HSG
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)

HOME PAGE: http://https://www.unisg.ch/en/universitaet/schools/finance/ueber-die-sof/lehrstuhl_ranaldo

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
111
Abstract Views
1,174
rank
334,887
PlumX Metrics