Investigating the determinants of banking coexceedances in Europe in the summer of 2008

Brian Lucey; Aleksandar  Ševic

doi:10.1016/j.intfin.2010.03.006

Investigating the determinants of banking coexceedances in Europe in the summer of 2008

Brian Lucey, Aleksandar Ševic

GSBS School Office

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	275–283
Number of pages	9
Journal	Journal of International Financial Markets, Institutions and Money
Volume	20
Issue number	3
DOIs	https://doi.org/10.1016/j.intfin.2010.03.006
Publication status	Published - Jul 2010

Keywords

banking coexceedances
Europe
market conditions

Documents and Links

10.1016/j.intfin.2010.03.006

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AB - 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.

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KW - market conditions

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