We examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, we model the lower coexceedances of these banks returns. We find that market microstructure, volatility (measured by range based measures) and limited general market conditions are key determinants of these coexceedances. We find some evidence that herding occurred.
|Number of pages||9|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Publication status||Published - Jul 2010|
- banking coexceedances
- market conditions