Reaction of European Bank Stock Prices to Events of the Asian and Russian Financial Crises

14 Pages Posted: 19 May 2006

See all articles by Amine Tarazi

Amine Tarazi

University of Limoges - Faculty of Law and Economic Science

Celine Crouzille

Independent

Laetitia Lepetit

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE)

Multiple version iconThere are 2 versions of this paper

Date Written: January 2006

Abstract

The aim of this paper is to examine the impact on bank stock prices of the Asian and Russian financial crises for a sample of European banks. This issue is of importance regarding financial fragility and contagion effects within the banking industry. We develop an event study methodology based on a large number of macroeconomic news and on public announcements of individual bank exposure during the sharpest episodes in 1997 and in 1998. Whereas bank stocks did not react promptly to the Asian crisis we show evidence of significant abnormal returns for a large number of banks to events of the Russian Crisis suggesting the presence of contagion effects.

Keywords: Asian and Russian crises, Banking, Event study, Contagion

JEL Classification: G14, G21

Suggested Citation

Tarazi, Amine and Crouzille, Celine and Lepetit, Laetitia, Reaction of European Bank Stock Prices to Events of the Asian and Russian Financial Crises (January 2006). Available at SSRN: https://ssrn.com/abstract=903111 or http://dx.doi.org/10.2139/ssrn.903111

Amine Tarazi (Contact Author)

University of Limoges - Faculty of Law and Economic Science ( email )

5 rue Felix Eboue
Limoges, 87000
France

Celine Crouzille

Independent ( email )

Laetitia Lepetit

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE) ( email )

5 rue Felix Eboue
BP 3127
Limoges Cedex 1, 87031
France
+33555149213 (Phone)

HOME PAGE: http://www.unilim.fr/lape/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
210
Abstract Views
1,428
rank
160,459
PlumX Metrics