Dependencies between European Stock Markets when Price Changes are Unusually Large

Sebastian Schich
  • SSRN Electronic Journal, Elsevier
  • DOI: 10.2139/ssrn.312580

Stock market links when returns are extreme

What is it about?

The paper measures dependencies between European stock markets when returns are unusually large. Dependency is measured by the conditional probability of an unusually large return in one market given an unusually large return in another using tools from multivariate extreme value theory. It finds that such dependencies have become closer over time. they are especially pronounced during downwards pressures. Links are particularly close between Germany on the one hand and Netherlands and France on the other, as compared to the United Kingdom and Italy.

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The following have contributed to this page: Dr Sebastian Schich