Determinants of risk in the banking sector during the European Financial Crisis

Kosmidou, Kyriaki; Kousenidis, Dimitrios; Ladas, Anestis C.; Negkakis, Christos

doi:10.1016/j.jfs.2017.06.006

Cited by 42 publications

(20 citation statements)

References 38 publications

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“…Many major individual financial markets around the world have also been studied in network approach, such as US [62,63], China [64][65][66], Germany [67,68], EU [69][70][71], Brazil [33,72], Italian [53,56], Korea [73], Russia [74], and Mexico [36,75]. Furthermore, there is literature focusing on the cross-board global markets [76,77].…”

Section: Complexitymentioning

confidence: 99%

Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets

et al. 2018

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Policy makings and regulations of financial markets rely on a good understanding of the complexity of financial markets. There have been recent advances in applying data-driven science and network theory into the studies of social and financial systems. Financial assets and institutions are strongly connected and influence each other. It is essential to study how the topological structures of financial networks could potentially influence market behaviors. Network analysis is an innovative method to enhance data mining and knowledge discovery in financial data. With the help of complex network theory, the topological network structures of a market can be extracted to reveal hidden information and relationships among stocks. In this study, two major markets of the most influential economies, China and the United States, are systematically studied from the perspective of financial network analysis. Results suggest that the network properties and hierarchical structures are fundamentally different for the two stock markets. The patterns embedded in the price movements are revealed and shed light on the market dynamics. Financial policymakers and regulators can gain inspiration from these findings for applications in policy making, regulations design, portfolio management, risk management, and trading.

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Section: Complexitymentioning

confidence: 99%

Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets

et al. 2018

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“…Moreover, the analysis leads to the finding that determinants such as greater bank asset concentration, diversification, credit flows, real interest rates, inflation rates, M2‐to‐foreign exchange reserves and nominal exchange rate depreciations significantly increase the likelihood of banking crisis, while determinants such as higher bank profits, real GDP growth, economic development and economic freedom reduces this likelihood. Finally, Kosmidou, Kousenidis, Ladas, and Negkagis (2017) consider several regulatory, reporting and financial market factors which are considered to be related to stock market crashes in order to examine whether information asymmetry, systemic risk and the significance of banks' in the economy are significant factors to explain crashes of the stocks in the banking sector. Their main finding is that these factors do play a significant role in explaining increased stock market risk although they are also related to idiosyncratic characteristics.…”

Section: Literature Reviewmentioning

confidence: 99%

The determinants of performance in the Eurozone banking sector: Core versus periphery Eurozone economies

2019

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In the present study we provide a thorough analysis of the effects that a group of bank‐specific as well as industry‐specific determinants along with the regulatory framework developed under the three pillars of Basel II agreement (capital stringency, official disciplinary power and private monitoring) have on the performance of Eurozone banking sector over the period 2007–2016. To this end, we conduct a systematic comparative analysis of the determinants of the performance of the banking sector in periphery Eurozone countries (Greece, Italy, Portugal, Spain) versus banks operating in core Eurozone economies (Germany, France). We provide evidence that is consistent with the argument that banks financed with short‐run capital market funding are more fragile. A further finding of our analysis shows that banks operating in countries which have a more restrictive regulatory framework on banking activities perform better. In addition, it is shown that the better‐performing banks have more equity. Finally, the estimation of the appropriate dynamic models we argue that bank performance is affected by bank‐specific determinants like equity capital and bank size, while the regulatory framework as well as macroeconomic variables play a crucial role.

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“…Network analysis methods have proved to be successful in studying various individual major financial markets such as US market [27,28,29], Germany [30,4], EU [31,32,33], Italian [34,35]. Some research papers have been investigate developing markets such as China [29,36,12,37], Brazil [38,39], Korea [40], Russia [21], and Mexico [41,42].…”

Section: Introductionmentioning

confidence: 99%

Comparative Analysis of Financial Network Topology for the Russian, Chinese and US Stock Markets

Balash

Sidorov

Faizliev

et al. 2020

Wseas Transactions on Business and Economics

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This paper studies the properties of the Russian stock market by employing the data-driven science and network approaches. The theory of complex networks allows us to build and examine topological network structures of the market with the further identification of relationships between stocks and the analysis of hidden information and market dynamics. In this paper we will present an analysis of structural and topological properties of the Russian stock market using market graph, hierarchical tree, minimum spanning tree approaches. We compare topological properties of the networks constructed for the US and China stock markets with the properties of corresponding networks constructed for the Russian stock market using a dataset spanning over eight years.

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Determinants of risk in the banking sector during the European Financial Crisis

Cited by 42 publications

References 38 publications

Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets

Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets

The determinants of performance in the Eurozone banking sector: Core versus periphery Eurozone economies

Comparative Analysis of Financial Network Topology for the Russian, Chinese and US Stock Markets

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