Co-exceedances in Eurozone stock markets - a multinomial logit analysis of contagion

Abstract

This paper examines contagion between stock markets of six Eurozone countries (France, Germany, Greece, Ireland, Italy, and Spain ) during period from December 3, 2003 to January 27, 2012. A multinomial logistic model is applied to analyze contagion based on a measure of joint occurrences of extreme negative stock market returns (i.e. co-exceedances) while controlling for common and regional factors that affect all stock markets simultaneously. The results indicate that the DJI returns, the EUROSTOXX50 conditional volatility, and the EUR - USD exchange rate significantly impacted the probability of extreme negative returns in Eurozone stock markets. The probability of co-exceedance (or contagion) between the investigated Eurozone stock markets during the global financial crisis and the Eurozone debt crisis did not increase significantly.

Keywords

borze;borzništvo;krize;finančna kriza;ekonometrični modeli;analiza;EU;

Data

Language:	English
Year of publishing:	2013
Typology:	1.01 - Original Scientific Article
Organization:	UM EPF - Faculty of Economics and Business
UDC:	336.763
COBISS:	11447836
ISSN:	0424-267X
Views:	685
Downloads:	47
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	Unknown
URN:	URN:SI:UM:
Type (COBISS):	Not categorized
Pages:	str. 259-273
Volume:	ǂVol. ǂ47
Issue:	ǂno. ǂ1
Chronology:	2013
Keywords (UDC):	social sciences;družbene vede;economics;economic science;ekonomija;ekonomske vede;finance;finance;money;monetary system;banking;stock exchanges;denar;monetarni sistem;bančništvo;borzništvo;
ID:	1434895