European bank equity risk: 1995-2006

Mamiza Haq and Richard Heaney

Journal of International Financial Markets, Institutions and Money, 2009, vol. 19, issue 2, 274-288

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.

Keywords: Economic; Monetary; Union; (EMU); Banks; Total; risk; Systematic; risk; Idiosyncratic; risk (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:19:y:2009:i:2:p:274-288

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