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Investigating the determinants of banking coexceedances in Europe in the summer of 2008

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  • Lucey, Brian
  • Sevic, Aleksandar

Abstract

We examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, we model the lower coexceedances of these banks returns. We find that market microstructure, volatility (measured by range based measures) and limited general market conditions are key determinants of these coexceedances. We find some evidence that herding occurred.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 20 (2010)
Issue (Month): 3 (July)
Pages: 275-283

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Handle: RePEc:eee:intfin:v:20:y:2010:i:3:p:275-283

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Web page: http://www.elsevier.com/locate/intfin

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Keywords: Contagion Logit Europe Banking;

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Cited by:
  1. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
  2. Fiordelisi, Franco & Soana, Maria-Gaia & Schwizer, Paola, 2013. "The determinants of reputational risk in the banking sector," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1359-1371.
  3. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.

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