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 2009-01-01
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
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)
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, 22:10:06 EST by Karen Morgan on behalf of UQ Business School