| 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  [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] | |
| 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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