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The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes-in-Changes Panel Data

Pilbeam, K. ORCID: 0000-0002-5609-8620, Asteriou, D and Sarantidis, A (2019). The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes-in-Changes Panel Data. Scottish Journal of Political Economy, doi: 10.1111/sjpe.12191

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 bank ing 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 pr ice index during recessions. In addition we also find significantly greater volatility in bank share returns.

Publication Type: Article
Additional Information: This is the peer reviewed version of the following article:Pilbeam, K. , Asteriou, D and Sarantidis, A (2018). The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes-in-Changes Panel Data. Scottish Journal of Political Economy, which has been published in final form at https://doi.org/10.1111/sjpe.12191. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Publisher Keywords: Changes-in-Changes; Panel Data; Crises; Recessions
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
Departments: School of Arts & Social Sciences > Economics
URI: http://openaccess.city.ac.uk/id/eprint/20317
[img] Text - Accepted Version
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