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Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008

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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

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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Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp301.

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Date of creation: 09 2009
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Handle: RePEc:iis:dispap:iiisdp301

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Cited by:
  1. 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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