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

Povzetek

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.

Ključne besede

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

Podatki

Jezik:	Angleški jezik
Leto izida:	2013
Tipologija:	1.01 - Izvirni znanstveni članek
Organizacija:	UM EPF - Ekonomsko-poslovna fakulteta
UDK:	336.763
COBISS:	11447836
ISSN:	0424-267X
Št. ogledov:	685
Št. prenosov:	47
Ocena:	0 (0 glasov)
Metapodatki:

Ostali podatki

Sekundarni jezik:	Neznan jezik
URN:	URN:SI:UM:
Vrsta dela (COBISS):	Delo ni kategorizirano
Strani:	str. 259-273
Letnik:	ǂVol. ǂ47
Zvezek:	ǂno. ǂ1
Čas izdaje:	2013
Ključne besede (UDK):	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