Banking Integration in Europe: a cointegration-based network approach

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Banking Integration in Europe: a cointegration-based network approach

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Banking Integration in Europe: a cointegration-based network approach

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

9

Strana od-do

56-64

Název nakladatele

Ekonóm, University of Economics in Bratislava

Místo vydání

Bratislava

Místo konání akce

Bratislava

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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