Banking Integration in Europe: a cointegration-based network approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00078463" target="_blank" >RIV/00216224:14560/14:00078463 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Banking Integration in Europe: a cointegration-based network approach
Original language description
Assuming the general efficiency of asset markets and ability of investors to identify banks' business prospectives and risks, banks' stock prices provide useful information on their economic condition. In this paper, we suggest to use the information onEuropean banks' stock prices to identify the state of European banking market integration. We first identify the long-run relationships in the European banking markets (as perceived by investors) by employing Engle-Granger cointegration analysis. We thenconstruct cointegration-based networks through cointegration coefficient matrix to illustrate the whole range of available information. The bi-directed and weighted cointegration-based network is used to find most influential banks in Europe and characterize the state of market integration over several time periods of market enlargement, global financial crisis and European sovereign debt crisis. We furthermore investigate the influence of particular banks and countries by PageRank algo
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 8th International Conference on Currency, Banking and International Finance, "The Role of Financial Sector in Supporting the Economic Recovery of CEE Countries"
ISBN
9788022540346
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
56-64
Publisher name
Ekonóm, University of Economics in Bratislava
Place of publication
Bratislava
Event location
Bratislava
Event date
Jan 1, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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