Extreme Coexceedances in New EU Member States' Stock Markets
31 Pages Posted: 3 Mar 2008 Last revised: 8 Nov 2017
Date Written: June 27, 2008
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: Suggested Citation