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Why is it important?
Measuring dependencies in extreme cases of stock market returns between countries is informative about the value to be have from cross-country risk-sharing arangements, with potential value-added higher where links are less tight.
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This page is a summary of: European stock market dependencies when price changes are unusually large, Applied Financial Economics, February 2004, Taylor & Francis,
DOI: 10.1080/0960310042000187360.
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