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Title: GARCH modelling of banking integration in the Eurozone
Authors: Alexandrou, George
Koulakiotis, Athanasios
Dasilas, Apostolos
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
Issue Date: 2011
Source: Research in International Business and Finance
Volume: 25
Issue: 1
First Page: 1
Last Page: 10
Abstract: We investigate the progress of integration in the European banking industry and its effects on the price of the common stock of banks listed on European stock exchanges. We estimate the overall effect of progress by comparing the changes in the stock price volatility of listed banks over the period from January 1990 to December 2005. Using univariate and bivariate GARCH models, we document that the introduction of the Euro and the enlargement of the European Union in May 2004 have contributed to the integration process of the banking industry in Europe. We also find evidence of negative volatility spillovers among bank stock returns for different groups of countries that have been involved in various recent stages of the European economic and political integration.
ISSN: 0275-5319
Other Identifiers: 10.1016/j.ribaf.2010.05.001
Appears in Collections:Department of Applied Informatics

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