Investigating the determinants of banking coexceedances in Europe in the summer of 2008
AbstractWe 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 InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 20 (2010)
Issue (Month): 3 (July)
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Contagion Logit Europe Banking;
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- Brian Lucey* School of Business and Institute for International Integration Studies,Trinity College Dublin Aleksandar Ševic, School of Business, Trinity College Dublin, 2009. "Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008," The Institute for International Integration Studies Discussion Paper Series iiisdp301, IIIS.
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