Reference : The Dark side of global integration: increasing tail dependance
Scientific journals : Article
Business & economic sciences : International economics
http://hdl.handle.net/10993/5647
The Dark side of global integration: increasing tail dependance
English
Cosma, Antonio mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Beine, Michel mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Vermeulen, Robert John Gerard [Bank of the Netherlands - Research Department]
2010
Journal of Banking and Finance
Elsevier Science
34
1
184-192
Yes (verified by ORBilu)
International
0378-4266
[en] Comovement Financial integration ; Stock markets ; Trade integration ; Financial integration
[en] We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli
<br />(2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the
<br />return distribution. First, we construct annual coexceedance probabilities for both lower and upper tail
<br />return quantiles using daily data from 1974–2006. Next, we explain these probabilities in a panel gravity
<br />model framework. Results show that macroeconomic variables asymmetrically impact stock market
<br />comovement across the return distribution. Financial liberalization significantly increases left tail comovement,
<br />whereas trade integration significantly increases comovement across all quantiles. Decreasing
<br />exchange rate volatility results in increasing lower tail comovement. The introduction of the euro
<br />increases comovement across the entire return distribution, thereby significantly reducing the benefits
<br />of portfolio diversification within the euro area.
Researchers ; Professionals ; Students ; General public
http://hdl.handle.net/10993/5647

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