What determines bank stock price synchronicity? : Global evidence

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Title: What determines bank stock price synchronicity? : Global evidence
Author: Francis, Bill ; Hasan, Iftekhar ; Song, Liang ; Yeung, Bernard
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2012
Series number: 16/2012
Year of publication: 2012
Publication date: 18.4.2012
Published in: Published in Journal of Financial Intermediation, Volume 24, Issue 3, July 2015: 312–324
DOI: 10.1016/j.jfi.2014.06.002
Pages: 46 s.
Keywords: lähentyminen; osakkeet; hinnat; kansainvälinen; pankkitoiminta; valtionyhtiöt; rahoitusmarkkinat; kriisit; talletussuoja; sääntely; luotot; instituutiot; kehittyvät markkinat; valtionpankit; synkronointi
JEL: G12; G14; G15; G21; G38; N20
Abstract: This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996-2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided by banks; (3) in countries that do not have explicit depository insurance; and (4) in countries that have lower bank-level disclosure. The results hold for both emerging and developed economy subsamples. Furthermore, in emerging economies, bank stocks in countries with higher degree of state-owned bank are more synchronized with the whole market, similarly, in developed markets, lower banking freedom enhances bank stock price synchronicity. Finally, the effects of state ownership, protection of property rights, and bank size are all more pronounced when determining bank stock price synchronicity during the financial crisis period. Keywords: stock price synchronicity; financial crisis, bank ownership; deposit insurance; banking freedom; bank disclosure JEL classification: G12; G14; G15; G21; G38; N20
Rights: https://helda.helsinki.fi/bof/copyright

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