Extreme Coexceedances In New EU Member States' Stock Markets

The authors analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) co-exceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. They use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the co-exceedance variables. They find that the effects differ between negative and positive co-exceedance variables, between old and new EU member states, and before and after the EU enlargement in 2004 suggesting a closer connection of new EU stock markets to those in Western Europe.