The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?

Jean-Pierre Allegret (), Helene Raymond and Houda Rharrabti ()
Additional contact information
Jean-Pierre Allegret: GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique
Houda Rharrabti: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper analyzes the influence of successive crises, including the recent European sovereign debt crisis, on banks' equity returns from 11 countries. Our data span the period December 14 th 2007-March 8 th 2013 that encompasses different episodes of economic and financial turmoil since the collapse of the subprime credit market. Our contribution to the literature is twofold. First, we use an explicit multifactor model of equity returns extended with a sovereign risk factor. Second, we adopt a Smooth Transition Regression (STR) framework that allows for an endogenous definition of crisis periods and captures the changes in parameters associated with shift contagion. We find that contagion from the European sovereign debt crisis to banks' equity returns has been confined to European banks, as U.S. banks' equity returns were unharmed by its direct impact and may even have benefited from a kind of flight to quality effect. Besides, across banks from the euro area, German financial institutions have not been completely spared by the eurozone debt crisis, though they have been relatively less affected.

Keywords: Smooth Transition Regression model; European sovereign debt crisis; Banks' equity returns; Contagion; Interdependence JEL Code: E6; F3; G2 (search for similar items in EconPapers)
Date: 2016
Note: View the original document on HAL open archive server: https://hal.science/hal-01659719
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (55)

Published in European Research Studies Journal, 2016, 19 (1), pp.129-148

Downloads: (external link)
https://hal.science/hal-01659719/document (application/pdf)

Related works:
Journal Article: The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence? (2016)
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:hal:journl:hal-01659719

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().