Financial market activity under capital controls: Lessons from extreme events

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.