Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe

Syed Jawad Hussain Shahzad, Thi Hong Van Hoang and Jose Arreola-Hernandez
Authors registered in the RePEc Author Service: Jose Arreola Hernandez

Finance Research Letters, 2019, vol. 28, issue C, 153-159

Abstract: We investigate the interaction between large banks and the financial sector in Europe using the cross-quantilogram approach of Han et al. (2016). We find evidence of asymmetry in the character of the spillovers between the largest European banks and the European financial sector that are dependent on the market state. Specifically, in bearish markets, the financial sector spillovers on large banks, whereas the reverse occurs during bullish markets. The time-varying analysis confirms the asymmetric character of the network structure.

Keywords: Cross-quantilogram; Large banks; Financial sector; Risk spillovers; Asymmetry; Europe (search for similar items in EconPapers)
JEL-codes: C1 G21 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Working Paper: Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:153-159

DOI: 10.1016/j.frl.2018.04.008

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