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The authors examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, they model the lower coexceedances of these banks returns. They find that market microstructure, volatility (measured by range based measures) and limited general market conditions are key determinants of these coexceedances. They find some evidence that herding occurred. The crisis that originated in the subprime mortgage market in the US was strongly felt in all international financial sectors across the globe.
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