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The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes‐in‐Changes Panel Data Estimations
Author(s) -
Asteriou Dimitrios,
Pilbeam Keith,
Sarantidis Antonios
Publication year - 2019
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/sjpe.12191
Subject(s) - recession , economics , financial crisis , panel data , index (typography) , stock (firearms) , volatility (finance) , stock market , monetary economics , stock market index , stock price , financial economics , econometrics , macroeconomics , mechanical engineering , paleontology , horse , biology , world wide web , computer science , engineering , series (stratigraphy)
This paper examines the impact of the financial crisis and economic recessions on bank shares compared to the overall stock market index for 18 OECD countries from 1993 to 2015. The empirical methodology utilizes the changes‐in‐changes approach. We compare and contrast the returns of the banking stock price index (treatment group) in each country with their general stock price index (control group), which experiences smaller changes. Our results suggest that bank returns on average perform significantly worse than that of the general stock price index during recessions. In addition, we also find significantly greater volatility in bank share returns.