20.500.12556/DKUM-49846 Co-exceedances in Eurozone sovereign stock markets - a multinomial logit analysis of contagion 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. borze borzništvo krize finančna kriza ekonometrični modeli analiza EU true false false Angleški jezik Neznan jezik Delo ni kategorizirano 2015-07-10 12:32:14 2015-07-10 12:32:14 2022-05-28 03:07:29 2021-05-09 03:19:39 2013 0 0 str. 259-273 no. 1 Vol. 47 2013 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.763 11447836 0424-267X URN:SI:UM:DK:EDEJUBOY http://www.ecocyb.ase.ro/nr_2013_pdf/Silvo%20Dajcman.pdf 1 https://dk.um.si/Dokument.php?lang=slv&id=74405 Ekonomsko-poslovna fakulteta 0 0 0