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European bank equity risk: 1995-2006

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  • Haq, Mamiza
  • Heaney, Richard

Abstract

We examine changes in bank equity risk following the formation of the Economic Monetary Union (EMU) in 1999. With the exception of Germany, we observe a decline in bank risk across euro-zone countries. Total risk decreased for 70% of the euro-zone banks in our sample with a statistically significant decrease in total risk observed for 51% of the sample. Similar results are found for idiosyncratic risk and systematic risk. These results are robust to financial crisis effects and test specification. Moreover, we find some evidence of a decrease in bank equity risk for a sample of neighbouring non-euro-zone European countries, consistent with the existence of some spill over effects.

Suggested Citation

  • Haq, Mamiza & Heaney, Richard, 2009. "European bank equity risk: 1995-2006," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 274-288, April.
    • Handle: RePEc:eee:intfin:v:19:y:2009:i:2:p:274-288
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    Cited by:

    1. Haq, Mamiza & Tripe, David & Seth, Rama, 2022. "Do traditional off-balance sheet exposures increase bank risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Maxim Zagonov & Angela Kate Pettinicchio & Galla Salganik-Shoshan, 2017. "Audit quality, bank risks, and cross-country regulations," Economics Bulletin, AccessEcon, vol. 37(3), pages 1666-1687.
    3. Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
    4. Haq, Mamiza & Heaney, Richard, 2012. "Factors determining European bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 696-718.
    5. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
    6. Bernard Bollen & Michael Skully & David Tripe & Xiaoting Wei, 2015. "The Global Financial Crisis and Its Impact on Australian Bank Risk," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 89-111, March.

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