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Extreme negative coexceedances in South Eastern European stock markets

  • Dragan Tevdovski


    (University Ss. Cyril and Methodius and CREATES)

The aim of this paper is to analyze the financial integration of the South Eastern Europe (SEE) stock markets. We use a multinomial logistic regression to analyze how persistence, asset class and volatility effects are related with negative coexceedances in SEE markets. We find evidence in favor of the continuation hypothesis in SEE stock markets. However, the factors associated with the coexceedances differ between the EU member countries from SEE and EU accession countries from SEE stock markets. The EU member countries are more dependent from the signals from major EU economies, while the accession countries are mainly influenced by the signals from the region.

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Paper provided by Department of Economics and Business Economics, Aarhus University in its series CREATES Research Papers with number 2014-18.

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Length: 33
Date of creation: 06 2014
Date of revision:
Handle: RePEc:aah:create:2014-18
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