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

Brian Lucey, Aleksandar Ševic

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)275–283
Number of pages9
JournalJournal of International Financial Markets, Institutions and Money
Volume20
Issue number3
DOIs
Publication statusPublished - Jul 2010

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Keywords

  • banking coexceedances
  • Europe
  • market conditions

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