Choudhry, Taufiq; Jayasekera, Ranadeva - In: Journal of International Money and Finance 49 (2014) PB, pp. 299-318
This paper empirically investigates the asymmetric effect of news on the time-varying beta of selected banks from seven European countries during the current crisis period and also during the pre-crisis period. The paper applies daily data from thirteen large banks from France, Germany, Greece,...