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The Reaction of Swiss Banks' Stock Prices to the Russian Crisis

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  • Bertrand Rime

Abstract

We try to detect contagion effects within the Swiss banking sector by examining the impact of the Russian debt moratorium on Swiss banks' stock prices. In a first step, using event study methodology, we compute Swiss banks' stock returns for a number of events related to the Russian moratorium. In a second step, using regression analysis, we examine whether the stock returns of individual banks reflected their exposure to Russia (individual exposure hypothesis) or whether they exhibited systemic characteristics (contagion hypothesis). Our event study indicates that events related to the Russian moratorium - but not the moratorium itself - had a significant impact on Swiss banks' stocks. The results of the regression are compatible with both the contagion and the individual exposure hypotheses.

Suggested Citation

  • Bertrand Rime, 2003. "The Reaction of Swiss Banks' Stock Prices to the Russian Crisis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 101-124, March.
  • Handle: RePEc:ses:arsjes:2003-i-5
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    References listed on IDEAS

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    6. Musumeci, James J & Sinkey, Joseph F, Jr, 1990. "The International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(2), pages 209-220, May.
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    More about this item

    Keywords

    Information; contagion; event-study;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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