Reaction of European Bank Stock Prices to Events of the Asian and Russian Financial Crises

Revue d'Economie Politique Vol. 116, No.4, July-August 2006

Posted: 27 Nov 2007

See all articles by Celine Crouzille

Celine Crouzille

Independent

Laetitia Lepetit

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE)

Amine Tarazi

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE); University of Limoges - Faculty of Law and Economic Science; Economic Research Forum (ERF)

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Abstract

The aim of this paper is to examine the impact on bank stock prices of the Asian and Russian financial crises for a sample of European banks. This issue is of importance regarding financial fragility and contagion effects within the banking industry. We develop an event study methodology based on a large number of macroeconomic news and on public announcements of individual bank exposure during the sharpest episodes in 1997 and in 1998. Whereas bank stocks did not react promptly to the Asian crisis we show evidence of significant abnormal returns for a large number of banks to events of the Russian Crisis suggesting the presence of contagion effects.

Keywords: Asian and Russian crises, Banking, Event study, Contagion

JEL Classification: G14, G21

Suggested Citation

Crouzille, Celine and Lepetit, Laetitia and Tarazi, Amine, Reaction of European Bank Stock Prices to Events of the Asian and Russian Financial Crises. Revue d'Economie Politique Vol. 116, No.4, July-August 2006 , Available at SSRN: https://ssrn.com/abstract=903108

Celine Crouzille

Independent ( email )

Laetitia Lepetit

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE) ( email )

5 rue Felix Eboue
BP 3127
Limoges Cedex 1, 87031
France
+33555149213 (Phone)

HOME PAGE: http://www.unilim.fr/lape/

Amine Tarazi (Contact Author)

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE) ( email )

5 rue Félix Eboué
BP 3127
Limoges Cedex 1, 87031
France

University of Limoges - Faculty of Law and Economic Science ( email )

5 rue Felix Eboue
Limoges, 87000
France

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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