IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v26y2019i19p1603-1611.html
   My bibliography  Save this article

The banking sector, stress and financial crisis: symmetric and asymmetric analysis

Author

Listed:
  • Nedal Al-Fayoumi
  • Bana Abuzayed
  • Talah S. Arabiyat

Abstract

This study investigates the impact of economic and financial stress on US banking sector returns during periods of crisis and tranquility. It further examines symmetric and asymmetric effects. The study applies GARCH (1, 1) methodology and describes stock returns based on the Fama–French–Carhart extended capital asset-pricing four systematic factors model. The results indicate that during the entire study period (from 10 January 2003 to 29 September 2017), US banking sector returns responded negatively to stress-induced changes, and investors were more sensitive to stress increases (negative news) than stress declines (positive news), especially during the financial crisis. These results support the view that stress shocks constitute a systematic asset price risk to the US banking sector. Investors and policymakers should both consider these shocks when modelling asset prices and evaluating banks’ stability.

Suggested Citation

  • Nedal Al-Fayoumi & Bana Abuzayed & Talah S. Arabiyat, 2019. "The banking sector, stress and financial crisis: symmetric and asymmetric analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 26(19), pages 1603-1611, November.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:19:p:1603-1611
    DOI: 10.1080/13504851.2019.1591581
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2019.1591581
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2019.1591581?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xiang Yuan & Luyao Wang & Xicheng Yin & Hongwei Wang, 2021. "How text sentiment moderates the impact of motivational cues on crowdfunding campaigns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
    2. Mobeen Ur Rehman & Wafa Ghardallou & Nasir Ahmad & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Does effect of risk and uncertainties on US sectoral returns differ across different investment horizons and market conditions," Risk Management, Palgrave Macmillan, vol. 26(1), pages 1-49, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:26:y:2019:i:19:p:1603-1611. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.