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The threat of systemic risk in banking : evidence for Europe
Schüler, Martin - 2002
This paper attempts to answer the question whether the threat of systemic risk in banking exists only on a national or on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns are used as a measure for interdependencies among European...
Persistent link: https://www.econbiz.de/10010503710
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Opaque Banks, Price Discovery, and Financial Instability
Jones, Jeffrey S. - 2012
Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial …
Persistent link: https://www.econbiz.de/10013116850
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Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations
Teeranutranont, Chanon - 2018
This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...
Persistent link: https://www.econbiz.de/10012926760
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The impact of the ECB banking supervision announcements on the EU stock market
Baglioni, Angelo; Monticini, Andrea; Peel, David - 2021
We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to the volatility of the Bank Stock Index for...
Persistent link: https://www.econbiz.de/10012696090
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Bail-in expectations for European banks : actions speak louder than words
Schäfer, Alexander; Schnabel, Isabel; Weder, Beatrice - 2016
The declared intention of policy makers is that future bank restructuring should be conducted through bail-in rather than bail-out. Over the past years there have been a few cases of European banks being restructured where creditors were bailed in. This paper exploits these events to investigate...
Persistent link: https://www.econbiz.de/10011974709
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A Study on the Impact of the Disclosure of Stress Test Results on European Financial Stocks and CDS Markets
Alves, Carlos F. - 2020
During the recent sovereign debt crisis, the European Banking Authority conducted two stress tests on European banks in order to gauge their capital needs, core Tier-1 ratios and ratios of resilience to adverse shocks. We assess the informational content of the disclosure of the stress test...
Persistent link: https://www.econbiz.de/10014352063
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Evaluating the information in the Federal Reserve stress tests
Flannery, Mark; Hirtle, Beverly J.; Kovner, Anna - 2015
We find evidence that the Federal Reserve stress tests (CCAR and DFAST) produce information about the stress-tested firms as well as other, non-stress-tested banking companies. Although standard event studies do not always show abnormal returns for the stress-tested sample on average, we argue...
Persistent link: https://www.econbiz.de/10011342852
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Bank Branch Density and Bank Runs
Benmelech, Efraim; Yang, Jun; Zator, Michal - National Bureau of Economic Research - 2023
Bank branch density, defined as the number of bank branches to total deposits, has significantly declined over the past decade, fueled by a confluence of branch closings and the almost doubling of deposits between 2016 and 2022. During this period, banks with low branch density benefited from...
Persistent link: https://www.econbiz.de/10014322849
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The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?
Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022
What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress...
Persistent link: https://www.econbiz.de/10013342212
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …
Persistent link: https://www.econbiz.de/10011471074