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Extreme Returns in the European financial crisis

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  • Andreas Chouliaras
  • Theoharry Grammatikos

Abstract

We examine the transmission of financial shocks among the euro†periphery (Portugal, Ireland, Italy, Greece, Spain), the euro†core (Germany, France, the Netherlands, Finland, Belgium), and the major European Union (but not euro) countries (Sweden, the United Kingdom, Poland, the Czech Republic, Denmark). Using extreme returns on daily stock market data from 2004 until 2013, we find transmission effects for the tails of the returns distributions for the pre†crisis, US crisis and euro crisis periods from the euro†periphery to the non†euro and euro†core groups. During the crises, the shocks transmitted were more substantial, indicating significantly higher losses on extreme return days.

Suggested Citation

  • Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
  • Handle: RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760
    DOI: 10.1111/eufm.12112
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    References listed on IDEAS

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    Cited by:

    1. Chouliaras, Andreas, 2015. "The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns," MPRA Paper 65585, University Library of Munich, Germany.
    2. Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    3. Chouliaras, Andreas, 2015. "Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms," MPRA Paper 65875, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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