دانلود مقاله ISI انگلیسی شماره 41795
عنوان فارسی مقاله

گسترش بازده و بی ثباتی در صنعت بانکداری اروپا در طول بحران مالی جهانی: پرواز برای کیفیت ادراک شده و یا سرایت؟

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
41795 2014 10 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion? ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 36, December 2014, Pages 36–45

کلمات کلیدی
گسترش بازده - گسترش بی ثباتی - سرایت - پرواز به کیفیت - پرواز از کیفیت - اقتصاد عمده (ME) - اقتصاد تاکید (SE)
پیش نمایش مقاله
پیش نمایش مقاله گسترش بازده و بی ثباتی در صنعت بانکداری اروپا در طول بحران مالی جهانی: پرواز برای کیفیت ادراک شده و یا سرایت؟

چکیده انگلیسی

This paper empirically investigates return, volatility and leverage spillover effects between banking industrial stock markets of the major economies (ME) (Germany, UK and US) and the smaller stressed European Union countries (SE), (Italy, Ireland, Greece, Spain and Portugal) from 2002 to 2014 which includes the global financial crisis period (2007–2014). Thus the paper investigates the influence of the global crisis on the spillover between the banking industrial stock markets of Europe and the US. We apply a multivariate GARCH–GJR framework to investigate the effects of the financial crisis with respect to spillover. Our results indicate an increase in both means and volatility spillover between the major economies and the stressed EU economies from the pre-crisis to the crisis period. During the pre-crisis period there is ample evidence of spillover from Germany, UK and the US to the smaller EU economies. Little evidence of a significant spillover from the smaller economies to the major economies is found during this period. We find that return and volatility transmission mechanisms between the major economies and the smaller EU countries are asymmetric during the crisis period. During the crisis, the level and amount of spillover from the major economies increase. But now there is also clear evidence of spillover from smaller EU economies to the major economies, this is especially true for Germany and the UK. Evidence of spillover effects suggests the existence of exploitable trading strategies and has important implications to investors in the areas of option pricing, portfolio optimization and risk management.

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