The Reaction of Swiss Banks' Stock Prices to the Russian Crisis

Bertrand Rime

Swiss Journal of Economics and Statistics (SJES), 2003, vol. 139, issue I, 101-124

Abstract: We try to detect contagion effects within the Swiss banking sector by examining the impact of the Russian debt moratorium on Swiss banks' stock prices. In a first step, using event study methodology, we compute Swiss banks' stock returns for a number of events related to the Russian moratorium. In a second step, using regression analysis, we examine whether the stock returns of individual banks reflected their exposure to Russia (individual exposure hypothesis) or whether they exhibited systemic characteristics (contagion hypothesis). Our event study indicates that events related to the Russian moratorium - but not the moratorium itself - had a significant impact on Swiss banks' stocks. The results of the regression are compatible with both the contagion and the individual exposure hypotheses.

Keywords: Information; contagion; event-study (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2003
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