The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe (Wplyw determinant na zmiennosc stop zwrotow z cen akcji w sektorze bankowym w Europie)

Katarzyna Niewinska ()
Additional contact information
Katarzyna Niewinska: Faculty of Management, University of Warsaw

Problemy Zarzadzania, 2018, vol. 16, issue 76, 50-60

Abstract: The aim of the paper is to examine the impact of macroeconomic determinants on the volatility of banking sector stock returns in Europe. The research was conducted for 182 banks in 26 European countries in which banks are listed in the stock market. The research method used was static panel models. The results obtained indicate that the selected determinants that influence the analysed variables are: unemployment rate, long-term interest rate, beta as well implied volatilities of the S&P500 and EUROSTOXX50 indices.

Keywords: beta; historical volatility; implied volatility; unemployment rate (search for similar items in EconPapers)
JEL-codes: E44 F37 G21 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://press.wz.uw.edu.pl/ems/vol16/iss76/4 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:16:i:76:y:2018:p:50-60

Access Statistics for this article

More articles in Problemy Zarzadzania from University of Warsaw, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().