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Open AccessArticle

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
Econometrics 2017, 5(2), 23; https://doi.org/10.3390/econometrics5020023
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)
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
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Durante, F.; Foscolo, E.; Weissensteiner, A. Dependence between Stock Returns of Italian Banks and the Sovereign Risk. Econometrics 2017, 5, 23.

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