Investigating the determinants of banking coexceedances in Europe in the summer of 2008 |
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| Authors: | Brian Lucey Aleksandar Šević |
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| Institution: | 1. School of Business and Institute for International Integration Studies, Trinity College Dublin, Ireland;2. School of Business, Trinity College Dublin, Ireland;1. Center for Energy Development and Environmental Protection Strategy Research, Jiangsu University, Zhenjiang, Jiangsu 212013, China;2. School of Mathematical Sciences, Nanjing Normal University, Nanjing, 210046, China;1. Università Cattolica del Sacro Cuore, Italy;2. London School of Economics, UK;1. Department of Economics, University of Glasgow, Adam Smith Building, Glasgow G12 8QQ, United Kingdom;2. School of Mathematics and Statistics, University of Sydney, Sydney, Australia;3. University Pierre and Marie Curie, Paris, France |
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| 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. |
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