International Conference on Eurasian Economies
1-3 July 2014 – Skopje, MACEDONIA
Paper detail
Paper ID : 1034
Status : Paper published
Language : English
Topic : Finance and Financial Crises
Presenter: Asst. Prof. Dr. Dragan Tevdovski
Session : 2B Finance I
Extreme Coexceedances in South Eastern European Stock Markets with Focus on EU Accession Countries
Extreme Coexceedances in South Eastern European Stock Markets with Focus on EU Accession Countries
- Asst. Prof. Dr. Dragan Tevdovski (Ss. Cyril and Methodius University, Macedonia)
Abstract
The aim of this paper is to investigate and document the financial contagion of the South Eastern Europe (SEE) stock markets. Using a modification of the Bae et al. (2003) coexceedance approach based on multinomial logistic regressions we model the occurrence of the large negative or positive stock returns on a given day across the SEE stock markets. Specifically, we divide the SEE stock markets on two groups based on country’s EU membership in order to allow for transmission mechanism from major EU economies stock markets to EU member countries from SEE, and in addition, transitory effect from EU member countries from SEE to accession countries from SEE region. We test the persistence, asset class and volatility effects on the likelihood of the coexceedances in both SEE groups. We find that effects differ: (i) between negative and positive coexceedances and (ii) between the EU member countries and EU accession countries stock markets from SEE. The empirical evidence for the persistence effects, asset class and volatility effects in the SEE region should draw the attention of both investors and policy makers.
JEL codes: C25, F36, G15
Tevdovski, Dragan (2014). "Extreme Coexceedances in South Eastern European Stock Markets with Focus on EU Accession Countries" in Proceedings of International Conference of Eurasian Economies 2014, pp.265-273, Skopje, MACEDONIA.
DOI: https://doi.org/10.36880/C05.01034
