CREATES lunch seminar: Dragan Tevdovski

Title: Extreme coexceedances in South Eastern European stock markets with focus on EU accession countries

Info about event

Time

Tuesday 1 April 2014,  at 12:00 - 12:30

Location

Fuglesangs Allé 4, 8210 Aarhus V, building 2628, room 303

Abstract
The aim of this paper is to investigate and document the financial contagion of the South Eastern Europe (SEE) stock markets. Using a modification of the Bae et al. (2003) coexceedance approach based on multinomial logistic regressions we model the occurrence of the large negative or positive stock returns on a given day across the SEE stock markets. Specifically, we divide the SEE stock markets on two groups based on country’s EU membership in order to allow for transitory effects from major EU economies stock markets to EU member countries from SEE, and in addition, transitory effect from EU member countries from SEE to accession countries from SEE region. Following Christiansen and Ranaldo (2009) we test the persistence, asset class and volatility effects on the likelihood of the coexceedances in both SEE groups.

CREATES arranges lunch seminars on a regular basis, normally on Tuesdays. The speakers are usually CREATES members, mostly PhD-students and postdocs. The speakers can also be visiting PhD-students or professors.

Each lunch seminar is followed by a discussion of the paper presented.

Organizers: Anders Bredahl Kock and Cristina Amado.

Place: CREATES meeting room, M303, building 2628 (M)

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