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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.

Suggested Citation

  • Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
  • 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;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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