European bank equity risk: 1995-2006

Mamiza Haq; Richard Heaney

doi:10.1016/j.intfin.2008.01.001

European bank equity risk: 1995-2006

Mamiza Haq, Richard Heaney

Accounting and Finance

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Abstract

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 language	English
Pages (from-to)	274-288
Journal	Journal of International Financial Markets, Institutions and Money
Volume	19
Issue number	2
Early online date	9 Jan 2008
DOIs	https://doi.org/10.1016/j.intfin.2008.01.001
Publication status	Published - Apr 2009

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AB - 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.

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DO - 10.1016/j.intfin.2008.01.001

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JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

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European bank equity risk: 1995-2006

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