Arbeitspapier
Dependencies between European stock markets when price changes are unusually large
The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an unusually large return in one market given an unusually large return in another and is estimated using an approach from multivariate extreme value theory. The paper finds the following. First, dependencies between markets in situations of unusually large returns have become closer over time. Second, they are generally higher for large negative returns than for large positive ones. Third, dependencies differ depending on the country pair considered. For example, stock markets in the Netherlands and France are more closely and those in the United Kingdom and Italy less closely linked to the German market. Fourth, overall dependencies are quite symmetric, in the sense that the conditional probability for an unusually large change given a large change in the other country is similar irrespective of which of the two countries the probability is conditioned on.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2002,12
- Klassifikation
-
Wirtschaft
International Financial Markets
- Thema
-
Multivariate extreme value analysis
International equity market linkages
Integration of European equity markets
Börsenkurs
Internationaler Preiszusammenhang
Aktienmarkt
Aktienindex
Schätzung
Deutschland
Großbritannien
Frankreich
Niederlande
Italien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schich, Sebastian T.
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schich, Sebastian T.
- Deutsche Bundesbank
Entstanden
- 2002
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