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Does the Euro crisis change the cross-correlation pattern between bank shares and national indexes?

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  • Ferreira, Paulo

Abstract

The objective of this paper is to analyze if the Euro crisis, which started in 2009, changes the cross-correlation pattern of bank shares with the national stock indexes in both in Eurozone and non-Eurozone countries. We study all banks listed in the main stock indexes of European Union countries, applying the detrended cross-correlation coefficient. An increase in the correlation indicates that the banking sector now has a greater influence in the national index, while a decrease in the correlation means the opposite. Our results show that 19 of the 39 banks analyzed in the Eurozone increased their correlation with national indexes, whilst in the non-Eurozone countries this happened with 14 of the 24 studied banks. While some authors argue that the crisis may have been aggravated by the weight of banks in the economy, Eurozone policy makers should pay attention to this feature.

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  • Ferreira, Paulo, 2016. "Does the Euro crisis change the cross-correlation pattern between bank shares and national indexes?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 320-329.
    • Handle: RePEc:eee:phsmap:v:463:y:2016:i:c:p:320-329
    DOI: 10.1016/j.physa.2016.07.033
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    Cited by:

    1. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
    2. Paulo Ferreira & Éder Pereira, 2019. "The impact of the Brexit referendum on British and European Union bank shares: a cross-correlation analysis with national indices," Economics Bulletin, AccessEcon, vol. 39(1), pages 335-346.
    3. Ferreira, Paulo & Loures, Luís & Nunes, José Rato & Dionísio, Andreia, 2017. "The behaviour of share returns of football clubs: An econophysics approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 136-144.
    4. Ferreira, Paulo & Kristoufek, Ladislav, 2017. "What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 554-566.
    5. Paulo Ferreira, 2017. "Portuguese and Brazilian stock market integration: a non-linear and detrended approach," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 49-63, April.
    6. Ferreira, Paulo & Dionísio, Andreia & Guedes, Everaldo Freitas & Zebende, Gilney Figueira, 2018. "A sliding windows approach to analyse the evolution of bank shares in the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1355-1367.
    7. Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "An econophysics approach to study the effect of BREXIT referendum on European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1175-1182.
    8. Guedes, E.F. & Brito, A.A. & Oliveira Filho, F.M. & Fernandez, B.F. & de Castro, A.P.N. & da Silva Filho, A.M. & Zebende, G.F., 2018. "Statistical test for ΔρDCCA cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 134-140.
    9. Guedes, E. & Dionísio, A. & Ferreira, P.J. & Zebende, G.F., 2017. "DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 38-47.
    10. da Silva Filho, A.M. & Zebende, G.F. & de Castro, A.P.N. & Guedes, E.F., 2021. "Statistical test for Multiple Detrended Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).

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