European Bank Equity Risk, 1995-2006

39 Pages Posted: 16 May 2009

See all articles by Richard A. Heaney

Richard A. Heaney

University of Western Australia

Mamiza Haq

University of Queensland - Finance; Financial Research Network (FIRN)

Date Written: May 16, 2009

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

Heaney, Richard A. and Haq, Mamiza, European Bank Equity Risk, 1995-2006 (May 16, 2009). Journal of International Financial Markets, Institutions and Money, Vol. 19, No. 2, 2009, Available at SSRN: https://ssrn.com/abstract=1405703

Richard A. Heaney

University of Western Australia ( email )

Crawley
Perth, Western Australia 6009
Australia
0414700799 (Phone)

Mamiza Haq (Contact Author)

University of Queensland - Finance ( email )

Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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