Next Article in Journal
Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
Next Article in Special Issue
The Realized Hierarchical Archimedean Copula in Risk Modelling
Previous Article in Journal
Unit Roots and Structural Breaks
Previous Article in Special Issue
Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting
Article Menu

Export Article

Open AccessArticle
Econometrics 2017, 5(2), 23; doi:10.3390/econometrics5020023

Dependence between Stock Returns of Italian Banks and the Sovereign Risk

1
Dipartimento di Scienze dell’Economia, Università del Salento, 73100 Lecce, Italy
2
Faculty of Economics and Management, Free University of Bozen-Bolzano, 39100 Bozen-Bolzano, Italy
*
Author to whom correspondence should be addressed.
Academic Editor: Jean-David Fermanian
Received: 16 March 2017 / Revised: 1 June 2017 / Accepted: 5 June 2017 / Published: 8 June 2017
(This article belongs to the Special Issue Recent Developments in Copula Models)
View Full-Text   |   Download PDF [869 KB, uploaded 8 June 2017]   |  

Abstract

We analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years 2003–2015. In a first step, we find that the Spearman’s rank correlation between the yield spread and the Italian banking system changed significantly after September 2008. According to this finding, we split the time window in two sub-periods. While we show that the dependence between the banking industry and changes in the yield spread increased significantly in the second time interval, we find no contagion effects from changes in the yield spread to returns of the banking system. View Full-Text
Keywords: financial markets; rank correlation; tail dependence; sovereign credit risk; Italy financial markets; rank correlation; tail dependence; sovereign credit risk; Italy
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Durante, F.; Foscolo, E.; Weissensteiner, A. Dependence between Stock Returns of Italian Banks and the Sovereign Risk. Econometrics 2017, 5, 23.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top