What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?

This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both financial crisis from 2007-2009 and COVID-19 health crisis. The analysis is based on coexceedances which represent number joint occurrences a group market indexes. To provide valuable insight how persistence, asset class, volatility effects are related with coexceedances, we utilize multinomial logistic regression procedure. We find evidence favour continuation hypothesis. However, factors associated differ between SEE Union (EU) members EU accession countries. more dependent signals major economies, while countries mainly impacted by regional signals. implications our may help policy makers understanding nature shock transmission markets.JEL Codes - C25; F36; G15