Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008
Posted: 2 Oct 2009
Date Written: October 1, 2009
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.
Keywords: bank, crisis, coexceedance, probit
JEL Classification: G21
Suggested Citation: Suggested Citation
Sevic, Alexandr and Lucey, Brian M., Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008 (October 1, 2009). Available at SSRN: https://ssrn.com/abstract=1481089
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