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
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Thi Hong Van Hoang: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Jose Arreola-Hernandez: ESC [Rennes] - ESC Rennes School of Business
Authors registered in the RePEc Author Service: Jose Arreola Hernandez

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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)
Date: 2019-03
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Citations: View citations in EconPapers (15)

Published in Finance Research Letters, 2019, 28, pp.153-159. ⟨10.1016/j.frl.2018.04.008⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02129104

DOI: 10.1016/j.frl.2018.04.008

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