A sliding windows approach to analyse the evolution of bank shares in the European Union

Paulo Ferreira, Andreia Dionisio, Everaldo Freitas Guedes and Gilney Figueira Zebende

Physica A: Statistical Mechanics and its Applications, 2018, vol. 490, issue C, 1355-1367

Abstract: Both sub-prime and Eurozone debt crisis problems caused severe financial crisis, which affected European markets in general, but particularly the banking sector. The continuous devaluation of bank shares in the financial sector caused a great decrease in market capitalization, and in citizen and investor confidence. Panic among investors led them to sell shares, while other agents took the opportunity to buy them. Therefore, the study of bank shares is important, particularly of their efficiency. In this paper, adopting a sliding windows detrended fluctuation approach, we analyse the efficiency concept dynamically with 63 European banks (both in and outside the Eurozone). The main results show that the crisis had an effect on changing the efficiency pattern.

Keywords: Crisis; Detrended fluctuation analysis; Efficiency; Sliding windows (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:490:y:2018:i:c:p:1355-1367

DOI: 10.1016/j.physa.2017.08.095

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