Stock return on Scandinavian stock markets and the banking industry : Evidence from the years of financial liberalisation and banking crisis

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dc.contributor Suomen Pankki
dc.contributor.author Hyytinen, Ari
dc.date.accessioned 2014-09-22T07:59:02Z
dc.date.available 2014-09-22T07:59:02Z
dc.date.issued 1999
dc.identifier.isbn 951-686-640-9
dc.identifier.issn 0785-3572
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/7861
dc.description.abstract This paper investigates the evolution of the (conditional) volatility of returns on three Scandinavian markets (Finland, Norway and Sweden) over the turbulent period of the past decade, namely the overlapping periods of financial liberalisation, drastically changing macroeconomic conditions and banking crisis. We find that even over this relatively turbulent period volatility is in most cases successfully captured by past volatility and shocks to past volatility, ie by a (symmetric) GARCH process.In each country banking crisis has induced regime shifts in (unconditional) volatility.We also find evidence for cross-country volatility spillovers during the banking crisis episodes.The estimated volatility patterns suggest that even though the volatility of returns was of very high magnitude during the years of banking crisis, developments within the banking industry were not reflected in market uncertainty until all the damage had been done and the severe problems afflicting banks began to be realised in full. Key words: GARCH, conditional volatility, banking crisis, volatility spillovers
dc.format.extent 28 s.
dc.language.iso eng
dc.relation.ispartofseries Bank of Finland Research Discussion Papers
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject pankkikriisit
dc.subject pörssit
dc.subject tuotot
dc.subject volatiliteetti
dc.subject Suomi
dc.subject Norja
dc.subject Ruotsi
dc.subject pääomamarkkinat
dc.subject SP
dc.subject GARCH
dc.subject RM
dc.title Stock return on Scandinavian stock markets and the banking industry : Evidence from the years of financial liberalisation and banking crisis
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-20140807610
dc.series.name Suomen Pankin keskustelualoitteita
dc.series.name Bank of Finland. Discussion papers
dc.series.year 1999
dc.series.number 19/1999
dc.series.sortingnumber 19
dc.date.publication 20.12.1999
dc.contributor.orgunit Rahoitusmarkkinaosasto
dc.contributor.orgunit Financial Markets Department

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