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Extreme Coexceedances in New EU Member States' Stock Markets

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  • Charlotte Christiansen
  • Angelo Ranaldo

Abstract

We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance variables. We find that the effects differ (a) between negative and positive coexceedance variables (b) between old and new EU member states, and (c) before and after the EU enlargement in 2004 suggesting a closer connection of new EU stock markets to those in Western Europe.

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Bibliographic Info

Paper provided by Swiss National Bank in its series Working Papers with number 2008-10.

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Length: 37 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:snb:snbwpa:2008-10

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

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