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Extreme Coexceedances in New EU Member States’ Stock Markets

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  • Charlotte Christiansen
  • Angelo Ranaldo

    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

Abstract

We analyze the financial integration of the new EU member states’ stock markets using the coexceedance variable that counts the number of large negative returns on a given day across the countries. We use a multinomial logit model to investigate which factors influence the coexceedance variable, separately for geographical effects, asset class effects, volatility effects, and persistence effects. The effects differ for negative (large negative returns) and positive (large positive returns) coexceedance variables. The coexceedance variables for the old and the new EU countries are influenced differently. The effects on the new EU coexceedance variables change after the EU enlargement in 2004.

Suggested Citation

  • Charlotte Christiansen & Angelo Ranaldo, 2007. "Extreme Coexceedances in New EU Member States’ Stock Markets," CREATES Research Papers 2007-34, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2007-34
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    More about this item

    Keywords

    Emerging markets; EU enlargement; EU Member States; Extreme returns; Financial integration; New EU Member States; Stock Markets;
    All these keywords.

    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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