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The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe (Wplyw determinant na zmiennosc stop zwrotow z cen akcji w sektorze bankowym w Europie)

Author

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  • Katarzyna Niewinska

    (Faculty of Management, University of Warsaw)

Abstract

The aim of the paper is to examine the impact of macroeconomic determinants on the volatility of banking sector stock returns in Europe. The research was conducted for 182 banks in 26 European countries in which banks are listed in the stock market. The research method used was static panel models. The results obtained indicate that the selected determinants that influence the analysed variables are: unemployment rate, long-term interest rate, beta as well implied volatilities of the S&P500 and EUROSTOXX50 indices.

Suggested Citation

  • Katarzyna Niewinska, 2018. "The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe (Wplyw determinant na zmiennosc stop zwrotow z cen akcji w sektorze bankowym w Europie)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(76), pages 50-60.
    • Handle: RePEc:sgm:pzwzuw:v:16:i:76:y:2018:p:50-60
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    More about this item

    Keywords

    beta; historical volatility; implied volatility; unemployment rate;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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