[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.
Disciplines :
Economie internationale
Identifiants :
UNILU:UL-ARTICLE-2011-185
Auteur, co-auteur :
COSMA, Antonio ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)
BEINE, Michel ; 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
Langue du document :
Anglais
Titre :
The Dark side of global integration: increasing tail dependance
