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Please use this identifier to cite or link to this item: http://hdl.handle.net/2262/38856

Title:	Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008
Author:	LUCEY, BRIAN MICHAEL SEVIC, ALEKSANDAR
Author's Homepage:	http://people.tcd.ie/blucey http://people.tcd.ie/sevica
Keywords:	Contagion Logit Europe Banking
Issue Date:	2010
Citation:	Brian Lucey and Aleksandar ević, Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008, Journal of International Financial Markets, Institutions and Money, 20, 3, 2010, 275-283
Series/Report no.:	Journal of International Financial Markets, Institutions and Money 20 3
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.
Description:	PUBLISHED
URI:	http://hdl.handle.net/2262/38856
Related links:	http://dx.doi.org/10.1016/j.intfin.2010.03.006
Appears in Collections:	Business Studies (Scholarly Publications)

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