What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?

What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?

This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both the financial crisis from 2007-2009 and the COVID-19 health crisis. The analysis is based on coexceedances which represent the number of joint occurrences of extreme...

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Bibliographic Details
Main Authors: Dragan Tevdovski, Viktor Stojkoski
Format: Article
Language:English
Published: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2021-03-01
Series:Scientific Annals of Economics and Business
Subjects:
cco-movement
contagion
stock markets
emerging markets
south eastern europe.
Online Access:http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1131

Internet

http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1131

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