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Investigating the Determinants of Banking Coexceedances in Europe in the Summer of 2008

Brian Lucey* School of Business and Institute for International Integration Studies,Trinity College Dublin
Aleksandar Ševic, School of Business, Trinity College Dublin

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.


Last updated 28 August 2014 by IIIS (Email).