| Title: | Co-exceedances in Eurozone sovereign stock markets - a multinomial logit analysis of contagion |
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| Authors: | ID Dajčman, Silvo (Author) |
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| Files: |  http://www.ecocyb.ase.ro/nr_2013_pdf/Silvo%20Dajcman.pdf
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| Language: | English |
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| Work type: | Not categorized |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | EPF - Faculty of Business and Economics
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| 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. |
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| Keywords: | borze, borzništvo, krize, finančna kriza, ekonometrični modeli, analiza, EU |
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| Year of publishing: | 2013 |
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| Number of pages: | str. 259-273 |
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| Numbering: | Vol. 47, no. 1 |
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| PID: | 20.500.12556/DKUM-49846  |
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| UDC: | 336.763 |
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| ISSN on article: | 0424-267X |
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| COBISS.SI-ID: | 11447836 |
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| NUK URN: | URN:SI:UM:DK:EDEJUBOY |
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| Publication date in DKUM: | 10.07.2015 |
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| Views: | 1313 |
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| Downloads: | 70 |
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| Metadata: |    |
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| Categories: | Misc.
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