This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Brian Lucey* School of Business and Institute for International Integration Studies,Trinity College Dublin Aleksandar Ševic, School of Business, Trinity College Dublin

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tcd.ie/iiis/documents/discussion/pdfs/iiisdp301.pdf
File Format: application/pdf
File Function:
Download Restriction: no

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

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 09 2009
Date of revision:
Handle: RePEc:iis:dispap:iiisdp301

Note: Length:
Contact details of provider:
Postal: 01
Phone: 00 353 1 896 3888
Fax: 00 353 1 896 3939
Web page: http://www.tcd.ie/iiis/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Eva Mateo).

Related research
Keywords:

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2009-12-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.