European bank equity risk: 1995-2006

Mamiza Haq, Richard Heaney

Research output: Contribution to journalArticle

10 Citations (Scopus)
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We examine changes in bank equity risk following the formation of the Economic Monetary Union (EMU) in 1999. With the exception of Germany, we observe a decline in bank risk across euro-zone countries. Total risk decreased for 70% of the euro-zone banks in our sample with a statistically significant decrease in total risk observed for 51% of the sample. Similar results are found for idiosyncratic risk and systematic risk. These results are robust to financial crisis effects and test specification. Moreover, we find some evidence of a decrease in bank equity risk for a sample of neighbouring non-euro-zone European countries, consistent with the existence of some spill over effects.

©2012 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)274-288
JournalJournal of International Financial Markets, Institutions and Money
Issue number2
Early online date9 Jan 2008
Publication statusPublished - Apr 2009

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