European bank equity risk: 1995-2006
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...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/85305 |
| _version_ | 1848764728937021440 |
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| author | Haq, Mamiza Heaney, R. |
| author_facet | Haq, Mamiza Heaney, R. |
| author_sort | Haq, Mamiza |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. © 2008 Elsevier B.V. All rights reserved. |
| first_indexed | 2025-11-14T11:23:59Z |
| format | Journal Article |
| id | curtin-20.500.11937-85305 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:23:59Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-853052021-09-13T04:24:04Z European bank equity risk: 1995-2006 Haq, Mamiza Heaney, R. 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. © 2008 Elsevier B.V. All rights reserved. 2009 Journal Article http://hdl.handle.net/20.500.11937/85305 10.1016/j.intfin.2008.01.001 restricted |
| spellingShingle | Haq, Mamiza Heaney, R. European bank equity risk: 1995-2006 |
| title | European bank equity risk: 1995-2006 |
| title_full | European bank equity risk: 1995-2006 |
| title_fullStr | European bank equity risk: 1995-2006 |
| title_full_unstemmed | European bank equity risk: 1995-2006 |
| title_short | European bank equity risk: 1995-2006 |
| title_sort | european bank equity risk: 1995-2006 |
| url | http://hdl.handle.net/20.500.11937/85305 |