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The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes‐in‐Changes Panel Data Estimations

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  • Dimitrios Asteriou
  • Keith Pilbeam
  • Antonios Sarantidis

Abstract

This paper examines the impact of the financial crisis and economic recessions on bank shares compared to the overall stock market index for 18 OECD countries from 1993 to 2015. The empirical methodology utilizes the changes‐in‐changes approach. We compare and contrast the returns of the banking stock price index (treatment group) in each country with their general stock price index (control group), which experiences smaller changes. Our results suggest that bank returns on average perform significantly worse than that of the general stock price index during recessions. In addition, we also find significantly greater volatility in bank share returns.

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  • Dimitrios Asteriou & Keith Pilbeam & Antonios Sarantidis, 2019. "The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes‐in‐Changes Panel Data Estimations," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 154-179, February.
    • Handle: RePEc:bla:scotjp:v:66:y:2019:i:1:p:154-179
    DOI: 10.1111/sjpe.12191
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    Cited by:

    1. Joscha Beckmann & Robert L. Czudaj & Gary Koop, 2019. "An empirical assessment of recent challenges in today's financial markets," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 1-4, February.
    2. Bulut, Emre & Marangoz, Cumali, 2025. "Exploring the impact of economic recession indicators on global financial markets: A QVAR analysis," International Review of Financial Analysis, Elsevier, vol. 99(C).
    3. Taiwon Ha, 2024. "Does an economic crisis deflate education bubble and inequality? Lessons from South Korea 1997–2020," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 38(1), pages 75-92, May.

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