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Extreme Coexceedances in New EU Member States’ Stock Markets

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Author Info
Charlotte Christiansen
Angelo Ranaldo () (School of Economics and Management, University of Aarhus, Denmark and CREATES)

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Abstract

We analyze the financial integration of the new EU member states’ stock markets using the coexceedance variable that counts the number of large negative returns on a given day across the countries. We use a multinomial logit model to investigate which factors influence the coexceedance variable, separately for geographical effects, asset class effects, volatility effects, and persistence effects. The effects differ for negative (large negative returns) and positive (large positive returns) coexceedance variables. The coexceedance variables for the old and the new EU countries are influenced differently. The effects on the new EU coexceedance variables change after the EU enlargement in 2004.

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Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2007-34.

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Length: 29
Date of creation: 07 Nov 2007
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Handle: RePEc:aah:create:2007-34

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: Emerging markets; EU enlargement; EU Member States; Extreme returns; Financial integration; New EU Member States; Stock Markets;

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Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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