Co-movements of bank stocks’ prices as signs of interdependence and contagion
Co-movements of bank stocks’ prices as signs of interdependence and contagion

Author(s): Oleg Deev
Subject(s): Economic policy, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: bank stock; cointegration analysis; interdependence; contagion;
Summary/Abstract: This paper examines the interrelations between six bank stock indices, illustrating world's biggest banking systems, to test the directions of market integration and possible contagion. Employing cointegration analysis methodology, we find evidence of cross-border banking sector interdependence, apparently formed separately by investment and commercial banks, and contagion, which in our case follow the timing convention in business activities of the chosen countries.

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