Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008
We 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.
|Date of creation:||09 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 00 353 1 896 3888
Fax: 00 353 1 896 3939
Web page: http://www.tcd.ie/iiis/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000.
"A New Approach to Measuring Financial Contagion,"
NBER Working Papers
7913, National Bureau of Economic Research, Inc.
- Charlotte Christiansen & Angelo Ranaldo, 2008.
"Extreme Coexceedances in New EU Member States' Stock Markets,"
2008-10, Swiss National Bank.
- Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
- Charlotte Christiansen & Angelo Ranaldo, 2007. "Extreme Coexceedances in New EU Member States’ Stock Markets," CREATES Research Papers 2007-34, School of Economics and Management, University of Aarhus.
- Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
- repec:dgr:uvatin:20050089 is not listed on IDEAS
- Stephan Schulmeister, 2008.
"Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?,"
WIFO Working Papers
- Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
- AfDB AfDB, . "The AfDB Statistics Pocketbook 2008," AfDB Statistics Pocketbook, African Development Bank, number 3 edited by Koua Louis Kouakou.
- Kristin Forbes & Roberto Rigobon, 1999.
"No Contagion, Only Interdependence: Measuring Stock Market Co-movements,"
NBER Working Papers
7267, National Bureau of Economic Research, Inc.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002.
"Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion,"
CEPR Discussion Papers
3310, C.E.P.R. Discussion Papers.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
- Philipp Hartmann & Stefan Straetmans & Casper G. de Vries, 2001.
"Asset market linkages in crisis periods,"
727, Federal Reserve Bank of Chicago.
- Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
- de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers.
- Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series 0071, European Central Bank.
- Baur, Dirk & Schulze, Niels, 2005. "Coexceedances in financial markets--a quantile regression analysis of contagion," Emerging Markets Review, Elsevier, vol. 6(1), pages 21-43, April.
- Horowitz, Joel, 1980. "The accuracy of the multinomial logit model as an approximation to the multinomial probit model of travel demand," Transportation Research Part B: Methodological, Elsevier, vol. 14(4), pages 331-341, December.
- Federico Bandi & Jeffrey Russell & Yinghua Zhu, 2008. "Using High-Frequency Data in Dynamic Portfolio Choice," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 163-198.
- Toni Gravelle & Maral Kichian & James Morley, 2002.
"Detecting shift-contagion in currency and bond markets,"
Computing in Economics and Finance 2002
58, Society for Computational Economics.
- Gravelle, Toni & Kichian, Maral & Morley, James, 2006. "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
- Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
- Binder, John J, 1998. " The Event Study Methodology since 1969," Review of Quantitative Finance and Accounting, Springer, vol. 11(2), pages 111-37, September.
- Chelley-Steeley, Patricia, 2005. "Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components," Global Finance Journal, Elsevier, vol. 16(1), pages 1-15, August.
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, 06.
When requesting a correction, please mention this item's handle: RePEc:iis:dispap:iiisdp301. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Colette Keleher)
If references are entirely missing, you can add them using this form.