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 InfoPaper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp301.
Date of creation: 09 2009
Date of revision:
Other versions of this item:
- Lucey, Brian & Sevic, Aleksandar, 2010. "Investigating the determinants of banking coexceedances in Europe in the summer of 2008," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 275-283, July.
- NEP-ALL-2009-11-14 (All new papers)
- NEP-BAN-2009-11-14 (Banking)
- NEP-EEC-2009-11-14 (European Economics)
- NEP-MST-2009-11-14 (Market Microstructure)
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