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GARCH modelling of banking integration in the Eurozone |
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| Authors: | George Alexandrou Athanasios Koulakiotis Apostolos Dasilas |
| Institution: | a Kingston Business School, School of Accounting and Finance, Kingston Hill KT2 7LB, UK b University of Macedonia, Department of International and European Studies, 156 Egnatia Str., 54006 Thessaloniki, Greece c International Hellenic University, School of Economics and Business Administration, 14th klm Thessaloniki-Moudania, 57101 Thessaloniki, Greece |
| Abstract: | We investigate the progress of integration in the European banking industry and its effects on the price of the common stock of banks listed on European stock exchanges. We estimate the overall effect of progress by comparing the changes in the stock price volatility of listed banks over the period from January 1990 to December 2005. Using univariate and bivariate GARCH models, we document that the introduction of the Euro and the enlargement of the European Union in May 2004 have contributed to the integration process of the banking industry in Europe. We also find evidence of negative volatility spillovers among bank stock returns for different groups of countries that have been involved in various recent stages of the European economic and political integration. |
| Keywords: | F33 G15 |
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