Testing for East-West Contagion in the European Banking Sector During the Financial Crisis

Cocozza, Emidio; Piselli, Paolo

doi:10.2139/ssrn.1829991

Cited by 226 publications

(2 citation statements)

References 115 publications

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“…Therefore, the Eastern region had to suffer the most given the 60% of foreign direct investments came from the volatile Western European banks. Cocozza and Piselli (2011) argue that the interconnectedness between Western and Eastern European banks strengthened with the increase in foreign banks presence in Eastern Europe, with 60% of foreign direct investments in Eastern Europe being from West. In their paper, they use the distance to default method on a sample of 33 listed European banks to analyze the contagion risk in Western and Eastern European banking sector.…”

Section: Literature Review and Statement Of Hypothesesmentioning

confidence: 99%

Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model

Andrieş

Galasan

2020

Risks

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In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model, conditioning on the state of the financial market. Low during normal times, the same shocks cause notable spillover effects during the volatile period. The results suggest a high level of interconnectedness across all the European regions, highlighting the importance of large and systemic important banks that create considerable systemic risk during the entire period. Regarding the non-interest income banks, the outcomes reveals an alert signal concerning the spillovers spread to interest income banks.

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Section: Literature Review and Statement Of Hypothesesmentioning

confidence: 99%

Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model

Andrieş

Galasan

2020

Risks

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“…The lessons learnt from the experience of the Baltic States are relevant for the other potential members of the EU and of the euro area. Furthermore, although the countries are small compared to the other EU members, the recent past shows that shocks in relatively small financial markets can create turmoil and cause contagion (Cocozza & Piselli, 2011). This only enhances the need for an understanding of how these countries have integrated with the more developed financial markets.…”

Section: Introductionmentioning

confidence: 99%

Integration of the Baltic stock markets with developed European markets

Harkmann

2020

Int. J Fin Econ

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This paper examines the extent of integration of the Baltic stock markets with the financial markets in Western Europe. The long-run relationships between the stock markets of the Baltic States and selected developed stock markets are studied by means of cointegration analysis on the weekly returns. For the Baltic stock markets and key indices from the European markets, the empirical results over period 2005-2015 provide clear evidence that the Baltic stock markets are integrated with the Swedish stock market, and that this cointegrating relationship implies transmission of shocks from Sweden to the Baltic States. The cointegration analysis is also conducted for rolling windows over consequent sub-samples, which only verifies the robustness of the integration between the stock markets of the Baltic States and Sweden. Given that there is no support for the long-term relationships between the Baltic market and euro area, it may be that Baltic markets offer diversification benefits for the euro area indices.

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