European bank equity risk: 1995-2006

Mamiza Haq, Richard Heaney

Research output: Contribution to journalArticle

10 Citations (Scopus)
253 Downloads (Pure)

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 languageEnglish
Pages (from-to)274-288
JournalJournal of International Financial Markets, Institutions and Money
Volume19
Issue number2
Early online date9 Jan 2008
DOIs
Publication statusPublished - Apr 2009

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