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Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe

Author

Listed:
  • Syed Jawad Hussain Shahzad

    (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School)

  • Thi Hong Van Hoang

    (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School)

  • Jose Arreola-Hernandez

    (ESC [Rennes] - ESC Rennes School of Business)

Abstract

We investigate the interaction between large banks and the financial sector in Europe using the cross-quantilogram approach of Han et al. (2016). We find evidence of asymmetry in the character of the spillovers between the largest European banks and the European financial sector that are dependent on the market state. Specifically, in bearish markets, the financial sector spillovers on large banks, whereas the reverse occurs during bullish markets. The time-varying analysis confirms the asymmetric character of the network structure.

Suggested Citation

  • Syed Jawad Hussain Shahzad & Thi Hong Van Hoang & Jose Arreola-Hernandez, 2019. "Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe," Post-Print hal-02129104, HAL.
    • Handle: RePEc:hal:journl:hal-02129104
    DOI: 10.1016/j.frl.2018.04.008
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    References listed on IDEAS

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    Cited by:

    1. Zhu, Zongyuan & Luo, Qingtian, 2023. "Inter-industry risk spillover, role reversal, and economic stability," Finance Research Letters, Elsevier, vol. 57(C).
    2. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
    3. Huynh, Toan Luu Duc & Foglia, Matteo & Doukas, John A., 2022. "COVID-19 and Tail-event Driven Network Risk in the Eurozone," Finance Research Letters, Elsevier, vol. 44(C).
    4. Huang, Wei-Qiang & Wang, Dan, 2020. "Financial network linkages to predict economic output," Finance Research Letters, Elsevier, vol. 33(C).
    5. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022. "Measuring systemic risk in the global banking sector: A cross-quantilogram network approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics.
    6. Niţoi, Mihai & Pochea, Maria Miruna, 2022. "The nexus between bank connectedness and investors’ sentiment," Finance Research Letters, Elsevier, vol. 44(C).
    7. Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022. "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, vol. 52(C).
    8. Liu, Wei & Ma, Qianting & Liu, Xiaoxing, 2022. "Research on the dynamic evolution and its influencing factors of stock correlation network in the Chinese new energy market," Finance Research Letters, Elsevier, vol. 45(C).
    9. Apostolakis, George N. & Floros, Christos & Giannellis, Nikolaos, 2022. "On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 156-176.
    10. Qian, Biyu & Wang, Gang-Jin & Feng, Yusen & Xie, Chi, 2022. "Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    11. Foglia, Matteo & Addi, Abdelhamid & Angelini, Eliana, 2022. "The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness," Global Finance Journal, Elsevier, vol. 51(C).

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    More about this item

    Keywords

    Cross-quantilogram; Large banks; Financial sector; Risk spillovers; Asymmetry Europe;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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