European bank equity risk: 1995-2006

Heaney, R. and Haq, M. (2009) European bank equity risk: 1995-2006. Journal of International Financial Markets, Institutions and Money, 19 2: 274-288. doi:10.1016/j.intfin.2008.01.001

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Author Heaney, R.
Haq, M.
Title European bank equity risk: 1995-2006
Journal name Journal of International Financial Markets, Institutions and Money   Check publisher's open access policy
ISSN 1042-4431
Publication date 2009
Year available 2008
Sub-type Article (original research)
DOI 10.1016/j.intfin.2008.01.001
Volume 19
Issue 2
Start page 274
End page 288
Total pages 15
Editor Booth, G. G.
Place of publication Amsterdam, Netherlands
Publisher Elsevier BV, North-Holland
Collection year 2009
Language eng
Subject C1
Abstract We examine changes in bank equity risk following the formation of the Economic Monetary Union (EMU) in 1999.With the exception of Germany, we observe a decline in bank risk across euro-zone countries. Total risk decreased for 70% of the euro-zone banks in our sample with a statistically significant decrease in total risk observed for 51% of the sample. Similar results are found for idiosyncratic risk and systematic risk. These results are robust to financial crisis effects and test specification. Moreover, we find some evidence of a decrease in bank equity risk for a sample of neighbouring non-euro-zone European countries, consistent with the existence of some spill over effects.
Keyword Economic Monetary Union (EMU)
Banks
Total risk
Systematic risk
Idiosyncratic risk
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Thu, 19 Mar 2009, 13:09:49 EST by Karen Morgan on behalf of UQ Business School