Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/322
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. |
URI: | https://doi.org/10.1016/j.ribaf.2010.05.001 https://ruomo.lib.uom.gr/handle/7000/322 |
ISSN: | 0275-5319 |
Other Identifiers: | 10.1016/j.ribaf.2010.05.001 |
Appears in Collections: | Department of Applied Informatics |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
GARCH Modelling of Banking Integration in the Eurozone.pdf | 453,11 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.