Financial market activity under capital controls: Lessons from extreme events

被引：7

作者：

Gkillas, Konstantinos ^{[1
]}

Longin, Francois ^{[2
]}

机构：

[1] Univ Patras, Dept Business Adm, Univ Campus Rio,POB 1391, Patras 26500, Greece

[2] ESSEC Business Sch, Dept Finance, 1 Ave Bernard Hirsch BP 50105, F-95021 Cergy Pontoise, France

来源：

ECONOMICS LETTERS | 2018年 / 171卷

关键词：

Capital controls; Extreme value theory; Return-volume dependence; STOCK-MARKET; VOLUME; LIQUIDITY; GREECE;

D O I：

10.1016/j.econlet.2018.07.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the contemporaneous relation between return and transaction volume in distribution tails under the restrictions on transactions due to the capital controls implemented on the Athens Stock Exchange in July 2015. We use bivariate extreme value theory to model the tail dependence structure. We show that restrictions on transactions have an impact on the activity of market participants. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：10 / 13

页数：4

共 16 条

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Alesina A., 1993, POLITICAL EC CAPITAL, V4353

[2] Minimal returns and the breakdown of the price volume relation [J].