Showing 1 - 10 of 162
On 3 July 2015, SUERF organized its sixth joint conference with the Bank of Finland in Helsinki on the subject of liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes, and a lunchtime address. The present SUERF Study...
Persistent link: https://www.econbiz.de/10011414459
The economic theory of network externalities provides the rationale for this paper, which investigates whether adoption of network strategies in European stock exchanges creates additional value in the provision of trading services. Using unbalanced panel data from all major European exchanges...
Persistent link: https://www.econbiz.de/10005648905
depending on market segment. Retail banking markets are generally seen to be much less integrated than other segments of … substantially across euro area countries. The purpose of this paper is to assess integration of retail banking in the euro area from … provide evidence of a process of convergence in retail banking credit interest rates for households and non …
Persistent link: https://www.econbiz.de/10005648858
We seek to contribute to both the finance-growth literature and the community banking literature by testing the effects …
Persistent link: https://www.econbiz.de/10005649013
We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of...
Persistent link: https://www.econbiz.de/10010818994
Using a sample of 161 global banks in 23 countries, we examine the applicability of structural models and bank fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility, and risk-free rate) are significantly associated with...
Persistent link: https://www.econbiz.de/10011114570
synchronized with the whole market, similarly, in developed markets, lower banking freedom enhances bank stock price synchronicity …
Persistent link: https://www.econbiz.de/10010945107
This paper evaluates bank exit regimes in selected financial centres using econometric methods. The focus is on bank exit regimes applicable to commercial banks in New York, London, Frankfurt, Helsinki and Tokyo in 1998–2002. Bank exit regimes are studied from the perspective of bank creditors...
Persistent link: https://www.econbiz.de/10005423720
Making use of ten years of daily data, this paper examines whether banking sector co-movements be-tween the three … largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based … on simple unadjusted correlation analysis uncover evidence of conta-gion between all pairs of countries. Adjusting for …
Persistent link: https://www.econbiz.de/10005648954
method to model the spreading of the contagion in the interbank network by implementing an epidemiologic model. Actual data … on European banks is exploited with simulated scale-free networks. The average contagion affected 70% and 40% of European … of contagion. Bank clustering, large incoming interbank loans and bank reputation are more prominent explanatory …
Persistent link: https://www.econbiz.de/10010818996