Co-movements of bank stocks’ prices as signs of interdependence and contagion

Authors

DEEV Oleg

Year of publication 2013
Type Article in Proceedings
Conference European Financial Systems 2013. Proceedings of the 10th International Scientific Conference
MU Faculty or unit

Faculty of Economics and Administration

Citation
Web http://is.muni.cz/do/econ/soubory/konference/efs/Sbornik_2013.pdf
Field Economy
Keywords bank stocks; cointegration analysis; interdependence; contagion
Description This paper examines the interrelations between six bank stock indices, illustrating world's biggest banking systems, to test the directions of market integration and possible contagion. Employing cointegration analysis methodology, we find evidence of cross-border banking sector interdependence, apparently formed separately by investment and commercial banks, and contagion, which in our case follow the timing convention in business activities of the chosen countries.
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