Journal Article

The behaviour of banking stocks during the financial crisis and recessions: Evidence from changes-in-changes panel data

Abstract

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.

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Authors

Asteriou, Dimitrios
Pilbeam, Keith
Sarantidis, Antonios

Oxford Brookes departments

Oxford Brookes Business School\Oxford Brookes Business School\Department of Accounting, Finance and Economics

Dates

Year of publication: 2019
Date of RADAR deposit: 2018-07-13

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Related resources

This RADAR resource is the Accepted Manuscript of The behaviour of banking stocks during the financial crisis and recessions: Evidence from changes-in-changes panel data