Department of Economics and Business Economics

Extreme negative coexceedances in South Eastern European stock markets

Research output: Working paperResearch


  • rp14_18

    Submitted manuscript, 0.98 MB, PDF document

  • Dragan Tevdovski, Denmark
The aim of this paper is to analyze the financial integration of the South Eastern Europe (SEE) stock markets. We use a multinomial logistic regression to analyze how persistence, asset class and volatility effects are related with negative coexceedances in SEE markets. We find evidence in favor of the continuation hypothesis in SEE stock markets. However, the factors associated with the coexceedances differ between the EU member countries from SEE and EU accession countries from SEE stock markets.The EU member countries are more dependent from the signals from major EU economies, while the accession countries are mainly influenced by the signals from the region.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages35
Publication statusPublished - 24 Jun 2014
SeriesCREATES Research Papers

    Research areas

  • Financial market integration, Co-movement, Stock markets, Emerging markets, South Eastern Europe

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