Extreme Returns in the European Financial Crisis

33 Pages Posted: 2 Oct 2017

Multiple version iconThere are 2 versions of this paper

Date Written: September 2017

Abstract

We examine the transmission of financial shocks among the euro‐periphery (Portugal, Ireland, Italy, Greece, Spain), the euro‐core (Germany, France, the Netherlands, Finland, Belgium), and the major European Union (but not euro) countries (Sweden, the United Kingdom, Poland, the Czech Republic, Denmark). Using extreme returns on daily stock market data from 2004 until 2013, we find transmission effects for the tails of the returns distributions for the pre‐crisis, US crisis and euro crisis periods from the euro‐periphery to the non‐euro and euro‐core groups. During the crises, the shocks transmitted were more substantial, indicating significantly higher losses on extreme return days.

Keywords: financial crisis, financial contagion, spillover, euro crisis, stock markets

Suggested Citation

Chouliaras, Andreas and Grammatikos, Theoharry, Extreme Returns in the European Financial Crisis (September 2017). European Financial Management, Vol. 23, Issue 4, pp. 728-760, 2017. Available at SSRN: https://ssrn.com/abstract=3045562 or http://dx.doi.org/10.1111/eufm.12112

Theoharry Grammatikos

Luxembourg School of Finance ( email )

4 Rue Albert Borschette
Luxembourg, L-1246
Luxembourg

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