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 | |
| Publication status | Published - Jul 2010 |
Keywords
- banking coexceedances
- Europe
- market conditions
Fingerprint Dive into the research topics of 'Investigating the determinants of banking coexceedances in Europe in the summer of 2008'. Together they form a unique fingerprint.
Cite this
Lucey, B., & Ševic, A. (2010). Investigating the determinants of banking coexceedances in Europe in the summer of 2008. Journal of International Financial Markets, Institutions and Money, 20(3), 275–283. https://doi.org/10.1016/j.intfin.2010.03.006