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Financial market activity under capital controls: Lessons from extreme events

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  • Gkillas, Konstantinos
  • Longin, François

Abstract

We investigate the contemporaneous relation between return and transaction volume in distribution tails under the restrictions on transactions due to the capital controls implemented on the Athens Stock Exchange in July 2015. We use bivariate extreme value theory to model the tail dependence structure. We show that restrictions on transactions have an impact on the activity of market participants.

Suggested Citation

  • Gkillas, Konstantinos & Longin, François, 2018. "Financial market activity under capital controls: Lessons from extreme events," Economics Letters, Elsevier, vol. 171(C), pages 10-13.
  • Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:10-13
    DOI: 10.1016/j.econlet.2018.07.004
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    Cited by:

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    More about this item

    Keywords

    Capital controls; Extreme value theory; Return–volume dependence;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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