The banking sector, stress and financial crisis: symmetric and asymmetric analysis

References

• Adrian, T., E. Friedman, and T. Muir, 2015. “The Cost of Capital of the Financial Sector”. Working Paper 775. Federal Reserve Bank of New York.
   Google Scholar
• Antonakakis, N., I. Chatziantoniou, and G. Filis. 2013. “Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty.” Economics Letters 120 (1): 87–92. doi:10.1016/j.econlet.2013.04.004.
   Web of Science ®Google Scholar
• Balakrishnan, R., S. Danninger, S. Elekdag, and I. Tytell. 2011. “The Transmission of Financial Stress from Advanced to Emerging Economies.” Emerging Markets Finance and Trade 47 (2): 40–68. doi:10.2753/REE1540-496X4703S203.
   Web of Science ®Google Scholar
• Bhanot, K., N. Burns, D. Hunter, and M. Williams. 2014. “News Spillovers from the Greek Debt Crisis: Impact on the Eurozone Financial Sector.” Journal of Banking & Finance 38: 51–63. doi:10.1016/j.jbankfin.2013.09.015.
   Web of Science ®Google Scholar
• Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroscedasticity.” Journal of Econometrics 31: 307–327. doi:10.1016/0304-4076(86)90063-1.
   Web of Science ®Google Scholar
• Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
   Web of Science ®Google Scholar
• Carmichael, B., and A. Coën. 2018. “Real Estate as a Common Risk Factor in Bank Stock Returns.” Journal of Banking and Finance 94: 118–130. doi:10.1016/j.jbankfin.2018.07.007.
   Web of Science ®Google Scholar
• Chira, I., J. Madura, and A. M. Viale. 2013. “Bank Exposure to Market Fear.” Journal of Financial Stability 9: 451–459. doi:10.1016/j.jfs.2013.06.004.
   Web of Science ®Google Scholar
• Dimitriou, D., D. Kenourgios, and T. Simos. 2013. “Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH–DCC Approach.” International Review of Financial Analysis 30: 46–56. doi:10.1016/j.irfa.2013.05.008.
   Web of Science ®Google Scholar
• Elyasiani, E., I. Mansur, and B. Odusami. 2011. “Oil Price Shocks and Industry Stock Returns.” Energy Economics 33 (5): 966–974. doi:10.1016/j.eneco.2011.03.013.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1993. “Common Risk Factors on the Returns of Stocks and Bonds.” Journal Financial Economics 33: 3–56. doi:10.1016/0304-405X(93)90023-5.
   Web of Science ®Google Scholar
• Federal Reserve Bank of Chicago. 2018. “National financial conditions index”. https://www.chicagofed.org/publications/nfci/index
   Google Scholar
• Ferrer, R., R. Jammazi, V. J. Bolós, and R. Benítez. 2018. “Interactions between Financial Stress and Economic Activity for the U.S.: A Time and Frequency-Varying Analysis Using Wavelets.” Physica A: Statistical Mechanics and Its Applications 492 (15): 446–462. doi:10.1016/j.physa.2017.10.044.
   Google Scholar
• French, K. 2018. Datalibrarywebsite. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
   Google Scholar
• Fricke, C., and L. Menkhoff. 2015. “Financial Conditions, Macroeconomic Factors and Disaggregated Bond Excess Returns.” Journal of Banking & Finance 58: 80–94. doi:10.1016/j.jbankfin.2015.03.015.
   Web of Science ®Google Scholar
• Gandhi, P., and H. Lustig. 2015. “Size Anomalies in U.S. Bank Stock Returns.” The Journal of Finance 70: 733–768. doi:10.1111/jofi.12235.
   Web of Science ®Google Scholar
• Hakkio, C. S., and W. R. Keeton. 2009. “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?.” Economic Review Federal Reserve Bank of Kansas City 5–50. Second Quarter.
   Google Scholar
• Hippler, W. J., and M. K. Hassan. 2015. “The Impact of Macroeconomic and Financial Stress on the U.S. Financial Sector.” Journal of Financial Stability 21: 61–80. doi:10.1016/j.jfs.2015.09.008.
   Web of Science ®Google Scholar
• Jurado, K., S. C. Ludvigson, and S. Ng. 2015. “Measuring Uncertainty.” The American Economic Review 105: 1177–1216. doi:10.1257/aer.20131193.
   Web of Science ®Google Scholar
• Liston, D. P. 2016. “Sin Stock Returns and Investor Sentiment.” The Quarterly Journal of Economics and Finance 59: 63–70. doi:10.1016/j.qref.2015.08.004.
   Web of Science ®Google Scholar
• Papadamou, S., and C. Siriopoulos. 2014. “Interest Rate Risk and the Creation of the Monetary Policy Committee: Evidence from Banks’ and Life Insurance Companies’ Stocks in the UK.” Journal of Economics and Business 71: 45–67. doi:10.1016/j.jeconbus.2013.09.001.
   Google Scholar
• Papapostolou, N. C., P. K. Pouliasis, N. K. Nomikos, and I. Kyriakou. 2016. “Shipping Investor Sentiment and International Stock Return Predictability.” Transportation Research Part E: Logistics and Transportation Review 96: 81–94. doi:10.1016/j.tre.2016.10.006.
   Web of Science ®Google Scholar
• Smales, N. A. 2017. “The Importance of Fear: Investor Sentiment and Stock Market Returns.” Applied Economics 49 (34): 3395–3421. doi:10.1080/00036846.2016.1259754.
   Web of Science ®Google Scholar
• Uribe, J. M., H. Chuliá, and M. Guillén. 2017. “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified Their Relationship.” Journal of International Financial Markets, Institutions and Money 50: 52–68. doi:10.1016/j.intfin.2017.09.027.
   Web of Science ®Google Scholar