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Are Banks Still a Risk Source for Stock Market? Some Empirical Evidences

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  • Michele Anelli

    (Department of Business and Law, School of Economics and Management, University of Siena, 53100 Siena, Italy)

  • Michele Patanè

    (Department of Business and Law, School of Economics and Management, University of Siena, 53100 Siena, Italy)

  • Stefano Zedda

    (Department of Business and Economics, University of Cagliari, 09123 Cagliari, Italy)

Abstract

The global financial crisis of 2008 proved that what initially appeared to be relatively small losses in the financial system can be magnified to systemic ones. The European Union debt crisis has thus revived interest in the interdependence across different markets, especially sovereign debt markets and the banking sector, and in the interlinkages among idiosyncratic and common shocks. This paper analyzes the evolution over time of the incidence of common shocks on the main Italian banking groups starting from the period of European Central Bank’s Quantitative Easing program. Results show that the banking sector is no longer perceived by the markets as a common risk source, overcoming the negative picture coming from the financial crisis of 2008–2009. The analysis also suggests that the common risk is broadly affected by the ECB monetary policy, and the idiosyncratic risk is linked to the recapitalization processes.

Suggested Citation

  • Michele Anelli & Michele Patanè & Stefano Zedda, 2022. "Are Banks Still a Risk Source for Stock Market? Some Empirical Evidences," JRFM, MDPI, vol. 15(7), pages 1-13, July.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:310-:d:863667
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    References listed on IDEAS

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    1. Robert Dorin Filip & Ninulescu Petre Valeriu, 2023. "Investigating The Impact Of Economic Sustainability On Banking System Development," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 147-150, April.

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